A Software Framework for a News Event Driven Simulation of Algorithmic Trading Strategies
نویسندگان
چکیده
منابع مشابه
Speed, algorithmic trading, and market quality around macroeconomic news announcements
This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300 ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact ...
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