Scholtus, Martin; van Dijk, Dick; Frijns, Bart - In: Journal of Banking & Finance 38 (2014) C, pp. 89-105
This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300ms or more...