High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Year of publication: |
2014
|
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Authors: | Jiang, George J. ; Lo, Ingrid ; Valente, Giorgio |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Financial markets |
Series: | Bank of Canada Working Paper ; 2014-56 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2014-56 [DOI] 812711653 [GVK] hdl:10419/123745 [Handle] RePEc:bca:bocawp:14-56 [RePEc] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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