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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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The ambivalent role of high-frequency trading in turbulent market periods
Hautsch, Nikolaus; Noe, Michael; Zhang, S. Sarah - 2017
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through...
Persistent link: https://www.econbiz.de/10011755770
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - In: European finance review : the official journal of the … 6 (2002) 2, pp. 133-161
Persistent link: https://www.econbiz.de/10001707962
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
Persistent link: https://www.econbiz.de/10001683737
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …
Persistent link: https://www.econbiz.de/10003947435
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …
Persistent link: https://www.econbiz.de/10003947458
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns …
Persistent link: https://www.econbiz.de/10003931807
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When machines read the news : using automated text analytics to quantify high frequency news-implied market reactions
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of empirical finance 18 (2011) 2, pp. 321-340
Persistent link: https://www.econbiz.de/10009301114
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10008937568