The Sound of Silence

28 Pages Posted: 8 Apr 2014

See all articles by Jeffrey H. Harris

Jeffrey H. Harris

American University - Department of Finance and Real Estate

Mohsen Saad

American University of Sharjah

Multiple version iconThere are 2 versions of this paper

Date Written: May 2014


Using comprehensive electronic data collected directly from NASDAQ systems, we assess the impact of changes in electronic message traffic on predicting short‐term changes in prices, spreads and quoted depth levels. We document evidence that message traffic at, and nearby, the inside quotes predicts upcoming price and quoted depth changes as much as 75 seconds in advance. Controlling for the time series properties of silent information, past price, volume, electronic communication network volume, time‐of‐day, and firm‐specific fixed effects, we find that message traffic is strongly related to short‐term returns. Our results demonstrate that modern electronic trading systems can be employed by high‐frequency traders to effectively forecast short‐term market conditions.

Keywords: finance, stock market

JEL Classification: G14, G17, G18

Suggested Citation

Harris, Jeffrey H. and Saad, Mohsen, The Sound of Silence (May 2014). Financial Review, Vol. 49, Issue 2, pp. 203-230, 2014. Available at SSRN: or

Jeffrey H. Harris (Contact Author)

American University - Department of Finance and Real Estate ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

Mohsen Saad

American University of Sharjah ( email )

P.O. Box 26666
United Arab Emirates

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics