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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérôme
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorFoucault, Thierry
dc.date.accessioned2021-10-22T10:11:31Z
dc.date.available2021-10-22T10:11:31Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22080
dc.language.isoenen
dc.subjectHigh-Frequency Tradingen
dc.subjectMini-Flash Crashesen
dc.subject.ddc3328en
dc.subject.classificationjelD.D8.D81en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G14en
dc.titleFalse News, Informational Efficiency, and Price Reversalsen
dc.typeCommunication / Conférence
dc.description.abstractenSpeculators can discover whether a signal is true or false by processing it but thistakes time. Hence they face a trade-off between trading fast on a signal (i.e., beforeprocessing it), at the risk of trading on a false positive, or trading after processingthe signal, at the risk that prices already reflect their information. The number ofspeculators who choose to trade fast increases with news reliability and decreaseswith the cost of fast trading technologies. We derive testable implications for theeffects of these variables on (i) the value of information, (ii) patterns in returnsand trades, (iii) the frequency of price reversals in a stock, and (iv) informationalefficiency. Cheaper fast trading technologies simultaneously raise informationalefficiency and the frequency of ”mini-flash crashes”: large price movements thatrevert quickly.en
dc.subject.ddclabelBourse, Marchés financiers. Taux d’intérêt – Stocks options – Optimisation mathématique – Analyse financièreen
dc.relation.conftitleVU Amsterdam Finance Seminaren
dc.relation.confdate2014-11
dc.relation.confcityAmsterdamen
dc.relation.confcountryNetherlandsen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2021-10-22T09:35:56Z
dc.subject.classificationjelHALD - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D81 - Criteria for Decision-Making under Risk and Uncertaintyen
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Ratesen
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G14 - Information and Market Efficiency; Event Studies; Insider Tradingen
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