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12-121/III - Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements


  • Authors
    Martin L. Scholtus, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bart Frijns, Auckland University of Technology
  • Publication date
    November 13, 2012
  • Keywords
    Macroeconomic News, High Frequency Trading, Latency Costs, Market Activity, Event-Based Trading
  • JEL
    E44, G10, G14