News Trading and Speed

By Thierry Foucault, J. Hombert, Ioanid Rosu. 2012

350 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/be8abee11f105534f114a98f4ef24b8323481473

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

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Citations in the corpus

Risk and Return in High-Frequency Trading (2018, positive): “This is consistent with theoretical models, such as Foucault et al. (2016) on active trading; and Hoffmann (2014) and Aït- Sahalia and Saglam (2014) on passive trading.”
Competing on Speed (2018, neutral): “Our work complements the recent literature that analyzes HFT (e.g., Aït-Sahalia and Saglam (2013), Budish, Cramton, and Shim (2015), Foucault et al. (2016), Biais, Foucault, and Moinas (2015)).”
News-based trading strategies (2016, background): “The latter means high-performance servers and low-latency network connections in direct proximity to the stock exchange as automated traders currently trade on news releases and place orders within milliseconds (cf. [48]).”
High‐Frequency Trading and Market Performance (2020, neutral): “Other models of HFT include those of Biais, Foucault, and Moinas (2015) and Foucault, Hombert, and Roşu (2016), which, like Yang and Zhu (forthcoming), limit HFTs to aggressive trading.”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, background): “In this case we have ϕ ∗ = ( 2(1−α)3 , (1−α) 3 , 2α 3 , α 3 ), which implies that ω∗ST,k ω∗ST,k+ω ∗ FT,k = ϕMO∗ST ϕMO∗ST +ϕ MO∗ FT = (1−α).”
Need for Speed? Exchange Latency and Liquidity (2016, background): “This assumption is standard in classic microstructure theory (e.g., Kyle, 1985) and in more recent HFT theory (e.g., Budish, Cramton, and Shim, 2015; Foucault, Hombert, and Roşu, 2016).”
High-Frequency Market Making to Large Institutional Trades (2018, neutral): “We include four lags of r, y, and LOIB in our probit tests to account for potential informativeness about relatively long-run security values (Foucault, Hombert, and Roşu 2016).”