High frequency trading and extreme price movements

J Brogaard, A Carrion, T Moyaert, R Riordan… - Journal of Financial …, 2018 - Elsevier
Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine
the activity of a common ELP type—high frequency traders (HFTs)—around extreme price …

Monetary policy uncertainty and the market reaction to macroeconomic news

A Kurov, R Stan - Journal of Banking & Finance, 2018 - Elsevier
We examine whether monetary policy uncertainty influences the reaction of the equity,
Treasury security, foreign exchange and crude oil markets, as well as medium-term interest …

Volume, volatility, and public news announcements

T Bollerslev, J Li, Y Xue - The Review of Economic Studies, 2018 - academic.oup.com
We provide new empirical evidence for the way in which financial markets process
information. Our results rely critically on high-frequency intraday price and volume data for …

Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets

P Marmora - Journal of International Financial Markets, Institutions …, 2022 - Elsevier
Despite mounting central bank concerns over cryptocurrency adoption, there is little
evidence that monetary policy compels national currency holders to consider decentralized …

Premium for heightened uncertainty: Explaining pre-announcement market returns

GX Hu, J Pan, J Wang, H Zhu - Journal of Financial Economics, 2022 - Elsevier
We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and
GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we …

Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

T Gilbert, C Scotti, G Strasser, C Vega - Journal of Monetary Economics, 2017 - Elsevier
The literature documents a heterogeneous asset price response to macroeconomic news
announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an …

Information sale and competition

K Bimpikis, D Crapis… - Management Science, 2019 - pubsonline.informs.org
This paper studies the strategic interaction between a monopolistic seller of an information
product and a set of potential buyers that compete in a downstream market. The setting is …

Bayesian model selection for complex dynamic systems

C Mark, C Metzner, L Lautscham, PL Strissel… - Nature …, 2018 - nature.com
Time series generated by complex systems like financial markets and the earth's
atmosphere often represent superstatistical random walks: on short time scales, the data …

Firm expectations and news: micro v macro

B Born, Z Enders, M Menkhoff, GJ Müller, K Niemann - 2023 - econstor.eu
Using firm-level data, we study how firm expectations adjust to news while accounting for a)
the heterogeneity of news and b) the heterogeneity of firms. We classify news as either micro …

Demand for information, uncertainty, and the response of US Treasury securities to news

H Benamar, T Foucault, C Vega - The Review of Financial …, 2021 - academic.oup.com
We use clickstream data to show that investors' demand for information about
macroeconomic factors affecting the path of future interest rates is a measure of their …