Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - 2015
We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is "fast … trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his … profits from trading on long-term price changes. The fast speculator's behavior matches evidence about high frequency traders …