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 …

We propose a costly information acquisition model to explore the mechanism of the process from the strategies of … information acquisition to price informativeness. The profit-seeking characteristics of free-access market environments hinder the … transmission channel of high-precision information from the information market to financial markets, defined as a blocking dilemma …