We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the … volatility. We identify two different channels (noise reduction and equilibrium learning) through which changes in price … informativeness are associated with changes in price volatility. We show that when informativeness is sufficiently high (low …

This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is … differences of opinion is left, and hence volatility is decreased. …