Scholtus, Martin L.; Dijk, Dick van; Frijns, Bart - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in the 'Journal of Banking and Finance', 2014, 38, 89-105.<P> This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500...</p>