PhD Defence: Aggregated Macroeconomic News and Price Discovery
ERIM’s Justinas Brazys examines market distortions created by the speed of information dissemination with special attention paid to high frequency traders who account for a substantial component of price volatility. Justinas demonstrates that pieces of news can have either positive or negative consequences for high-risk assets and that international economic data is disseminated far slower than domestic economic data, providing avenues which even slow traders can benefit from.