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Wednesday 20 November 2013, 14:00-14:50
News Trading and Speed
- đ¤ Speaker: Foucault, T (HEC, Paris)
- đ Date & Time: Wednesday 20 November 2013, 14:00 - 14:50
- đ Venue: Seminar Room 2, Newton Institute Gatehouse
Abstract
Co-authors: Johan Hombert (HEC), Ioanid Rosu (HEC)
Speed matters: we show that an investor’s optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecasts short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the fast investor’s share of trading volume. Last, price changes are more correlated with news and trades contribute more to volatility when the investor has fast access to news.
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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