This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …

We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin
exchanges and scheduled macroeconomic news announcements affect the volatility of …

Using a new data set consisting of six years of real-time exchange-rate quotations,
macroeconomic expectations, and macroeconomic realizations, we characterize the …

Using a unique high-frequency futures dataset, we characterize the response of US, German
and British stock, bond and foreign exchange markets to real-time US macroeconomic news …

Current macroeconomic models provide appealing, succinct descriptions of business cycle
dynamics in the United States and other countries, but less is known about the extent to …

This article explores cross-market liquidity dynamics by estimating a vector autoregressive
model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock …

A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

This Paper uses intraday data from the interdealer government bond market to investigate
the effects of scheduled macroeconomic announcements on prices, trading volume, and bid …

The arrival of public information in the US Treasury market sets off a two‐stage adjustment
process for prices, trading volume, and bid‐ask spreads. In a brief first stage, the release of a …

Stock market average returns and Sharpe ratios are significantly higher on days when
important macroeconomic news about inflation, unemployment, or interest rates is …