Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
Year of publication: |
2012
|
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Authors: | Scholtus, Martin L. ; van Dijk, Dick ; Frijns, Bart |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Spekulation | Wirtschaftsindikator | Informationsverbreitung | Börsenkurs | USA | Macroeconomic News | High Frequency Trading | Latency Costs | Market Activity | Event-Based Trading |
Series: | Tinbergen Institute Discussion Paper ; 12-121/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 740110071 [GVK] hdl:10419/87562 [Handle] RePEc:dgr:uvatin:20120121 [RePEc] |
Classification: | E44 - Financial Markets and the Macroeconomy ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Speed, algorithmic trading, and market quality around macroeconomic news announcements
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