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Economic news and the impact of trading on bond prices

Green, Tracy Clifton - In: The journal of finance : the journal of the American … 59 (2004) 3, pp. 1201-1234

Persistent link: https://www.econbiz.de/10002094778

Economic news and the yield curve : evidence from the US treasury market

Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - 1998

Persistent link: https://www.econbiz.de/10000981121

Economic news and bond prices : evidence from the US treasury market

Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543

Persistent link: https://www.econbiz.de/10001651573

Rent seeking by low-latency traders : evidence from trading on macroeconomic announcements

Chordia, Tarun; Green, Tracy Clifton; Kottimukkalur, … - In: The review of financial studies 31 (2018) 12, pp. 4650-4687

Persistent link: https://www.econbiz.de/10012005214

Rent Seeking by Low-Latency Traders : Evidence from Trading on Macroeconomic Announcements

Chordia, Tarun - 2018

Prices of the highly liquid S&P500 exchange traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over a hundred-fold following the news release. However, profits from trading quickly are...

Persistent link: https://www.econbiz.de/10012932291