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Market structure, security prices, and informational efficiency

Huang, Jennifer - In: Macroeconomic dynamics 1 (1997) 1, pp. 169-205

Persistent link: https://www.econbiz.de/10001337435

Early peek advantage? : efficient price discovery with tiered information disclosure

Hu, Xing; Pan, Jun; Wang, Jiang - In: Journal of financial economics 126 (2017) 2, pp. 399-421

Persistent link: https://www.econbiz.de/10011818175

Fat tails, long memory, and the stock market since the 1960's

Lo, Andrew W. - In: Economic notes : economic review of Banca Monte dei … 26 (1997) 2, pp. 213-246

Persistent link: https://www.econbiz.de/10001337764

Adaptive markets : financial evolution at the speed of thought

Lo, Andrew W. - 2017

Persistent link: https://www.econbiz.de/10013503329

Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure

Hu, Grace Xing - 2017

From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment (ICS) from Thomson Reuters at 9:54:58, two seconds before its broader release. Focusing on the trading and price behavior in E-mini S&P 500 futures, we find that this tiered...

Persistent link: https://www.econbiz.de/10012973729