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The Impact of HFT on the Speed of Adjustment to New Information : Evidence from Interest Rate Derivatives

Frino, Alex - 2020

This study investigates the impact of HFT on the intraday speed of adjustment and price discovery following scheduled macroeconomic announcements for interest rate derivatives. Our results demonstrate that the speed of adjustment to new information has been improved for both interest rate...

Persistent link: https://www.econbiz.de/10012850281

Commonality in liquidity across international borders : evidence from futures markets

Frino, Alex; Mollica, Vito; Zhou, Zeyang - In: The journal of futures markets 34 (2014) 8, pp. 807-818

Persistent link: https://www.econbiz.de/10010507935

Asymmetry in the permanent price impact of block purchases and sales : theory and empirical evidence

Frino, Alex; Mollica, Vito; Romano, Maria Grazia; Zhou, … - In: The journal of futures markets 37 (2017) 4, pp. 359-373

Persistent link: https://www.econbiz.de/10011950679

Impact of algorithmic trading on speed of adjustment to new information : Evidence from interest rate derivatives

Frino, Alex; Garcia, Michael; Zhou, Zeyang - In: Journal of Futures Markets 40 (2020) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10012189131

Should macroeconomic information be released during trading breaks in futures markets?

Frino, Alex; Garcia, Michael - In: Journal of Futures Markets 38 (2018) 7, pp. 775-787

Persistent link: https://www.econbiz.de/10012082104

Price discovery in short-term interest rate markets : Futures versus swaps

Frino, Alex; Garcia, Michael - In: Journal of Futures Markets 38 (2018) 10, pp. 1179-1188

Persistent link: https://www.econbiz.de/10012082130

How do we boost savings and investment?

Frino, Alex - In: Economics '94 : conference proceedings ; creating jobs …, (pp. 63-71). 1994

Persistent link: https://www.econbiz.de/10001291764

The sensitivity of trading to the cost of information

Frino, Alex; Kovačević, Ognjen; Mollica, Vito; Webb, … - In: Journal of Futures Markets 40 (2020) 10, pp. 1631-1644

Persistent link: https://www.econbiz.de/10012273042

Off‐market block trades : New evidence on transparency and information efficiency

Frino, Alex - In: Journal of Futures Markets 41 (2021) 4, pp. 478-492

Persistent link: https://www.econbiz.de/10012535191

Connectivity costs and price efficiency : An event study

Frino, Alex; Kovacevic, Ognjen; Mollica, Vito; Webb, … - In: Journal of Futures Markets 42 (2021) 2, pp. 296-309

Persistent link: https://www.econbiz.de/10012808308

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