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SUMMARY:News Trading and Speed - Foucault\, T (HEC\, Paris)
DTSTART:20131120T140000Z
DTEND:20131120T145000Z
UID:TALK48915@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Johan Hombert (HEC)\, Ioanid Rosu (HEC) \n\nSpeed 
 matters: we show that an investor's optimal trading strategy is significan
 tly different when he observes news faster than others versus when he does
  not\, holding the precision of his signals constant. When the investor ha
 s fast access to news\, his trades are much more sensitive to news\, accou
 nt for a much bigger fraction of trading volume\, and forecasts short run 
 price changes. Moreover\, in this case\, an increase in news informativene
 ss increases liquidity\, volume\, and the fast investor's share of trading
  volume. Last\, price changes are more correlated with news and trades con
 tribute more to volatility when the investor has fast access to news.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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