Unscheduled News and Market Dynamics
研究了非计划新闻到达时，投资者随机延迟反应但仍可能利用新信息，导致订单流失衡、市场深度消耗，以及价格波动、交易量和订单簿不平衡之间的正协方差。
ABSTRACT When unscheduled news arrives, investors react with a stochastic delay yet still may exploit new information. In this context, I study the equilibrium dynamics of limit order markets. Continuous idiosyncratic liquidity shocks result in trades on both sides of the order book. News therefore arrives at random times. Following news, order flows become unbalanced and market depth is consumed, leading to positive covariance between price variability, trading volume, and order book unbalances. Holding the unconditional price variability constant, news frequency has a negative effect on both market depth and the variability‐volume covariance.