Kelly, David; Steigerwald, Douglas - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 1, pp. 1167-1167
We study the effect of privately informed traders on measured high frequency price changes and trades in asset markets. We use a standard market microstructure framework where exogenous news is captured by signals that informed agents receive. We show that the entry and exit of informed traders...
