Research seminar by Anna Obizhaeva (University of Maryland): «News Articles and Trading Game Invariance»

Tuesday, April 12 at 4.30 pmInternational College of Economics and Finance held Research seminar.
Venue: Pokrovski Bulvar, 11, Room Zh-822
Speaker: Anna Obizhaeva (University of Maryland)
Theme: «News Articles and Trading Game Invariance» ( pdf version)

 

Abstract:  Our paper examines how the number of news articles varies across stocks and across time, using the news data from Thomson Reuters firm for the period from 2003 through 2008. This variation is largely explained by the variation in the level of trading activity, defined as a product of dollar trading volume and volatility. When the trading activity increases by one percent, the number of news articles increases by a two-third of one percent. This paper thus provides the evidence important for making the model of market microstructure invariance internally consistent: Not only the trading process unfolds with a trading-game time clock, but the information flow conforms to the same  time clock as well.

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