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Does Algorithmic Trading Deter Information Acquisition?

Weller, Brian - 2018

Abstract I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze the rise of algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of...

Persistent link: https://www.econbiz.de/10012936927

The Information Content of Quotes in High Frequency Order Driven Markets

Pani, Sudhanshu Sekhar - 2019

This paper investigates the information content present in the quotes in an order driven market without the presence of designated market makers. A representation is proposed that recognises the ability of participants in such markets to observe market events and calibrate their quoting...

Persistent link: https://www.econbiz.de/10012890991

Why do large investors disclose their information?

Liu, Ying - 2017

Large investors often advertise private information at private talks or in the media. To analyse the incentives for information disclosure, I develop a two-period Kyle (1985) type model in which an informed short-horizon investor strategically discloses private information to enhance price...

Persistent link: https://www.econbiz.de/10011877380

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

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 measures the abnormal amount of noisy “ticker”...

Persistent link: https://www.econbiz.de/10011344170

Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Trades

Waelbroeck, Henri - 2014

We examine information, market impact and trade sizes using a data-set of institutional trades where approximately 1/4 of the orders are labeled as having been created for cash flow purposes. We find that during the execution the functional form and scale of market impact are similar for cash...

Persistent link: https://www.econbiz.de/10013063529

Dynamic Price Discovery : Transparency vs. Information Design

Kakhbod, Ali - 2020

This paper studies how public disclosure of past trade details affects price discovery dynamics under asymmetric information with heterogenous hedging motives. We model that an informed buyer (informed trader) sequentially trades with a series of uninformed sellers (hedgers). The informed buyer...

Persistent link: https://www.econbiz.de/10012850596

Short Selling, Informational Efficiency, and Extreme Stock Price Adjustment

Fan, Yi; Gao, Yang - 2022

Using Chinese equity data from April 2009 to August 2020, we contribute to the literature by exploring the impact of short selling on stock prices in three aspects. First, we find that as short sellers become more active, stock price adjustments accelerate, and prices respond more swiftly to...

Persistent link: https://www.econbiz.de/10014235886

Measuring risk information

Smith, Kevin; So, Eric - 2020

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10012244502

The Opposing Effects of Information Complexity and Information Content on Return Volatility

Belo, Frederico - 2018

We evaluate the impact of complexity and content of new information on stock return volatility dynamics around 10-K … fillings. On average, return volatility increases by 0.4% in the first four weeks after the release of the report, followed by … reports. The effects are economically significant: an options-based investment strategy exploring the volatility dynamics …

Persistent link: https://www.econbiz.de/10012937620

The Information Content of Retail Order Flow : Evidence from Fragmented Markets

Upson, James; Chakrabarty, Bidisha; Cox, Justin - 2022

We examine the information content of retail order flow relative to dark institutional and lit market order flow. After controlling for volume effects, we find that retail order flow is more informed than dark institutional order flow. The majority of price discovery on dark markets comes from...

Persistent link: https://www.econbiz.de/10013404048