12-121/III - Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

• Authors
  Martin L. Scholtus, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bart Frijns, Auckland University of Technology
• Publication date
  November 13, 2012

• Keywords
  Macroeconomic News, High Frequency Trading, Latency Costs, Market Activity, Event-Based Trading
• JEL
  E44, G10, G14