Social media, high‐frequency trading, and market making after‐hours – Evidence from presidential tweets
研究总统推文对股市盘后交易时段的影响，发现推文后瞬间波动率上升、流动性恶化，且盘后时段市场质量下降更快更严重，对算法交易者和市场监管者具有参考价值。
Abstract I analyze differences between the core and extended trading sessions in the high‐frequency reaction of equity markets to potential news. Using presidential tweets as unanticipated, potentially market‐stirring events, I find that volatility increases and liquidity deteriorates within fractions of a second after a tweet. The speed of quote adjustments indicates that algorithmic traders monitor social media sources around the clock and automatically trade upon this information. Compared to the core trading session, the reduction in market quality is much stronger and faster during the extended trading hours, when liquidity is lower and designated market maker participation is optional.