Is Someone Front-Running You Around News Releases?

Irene Aldridge

BigDataFinance.org; ABLE Alpha Trading, LTD; AbleMarkets.com

February 5, 2016

This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly released embargoed news consistently takes place as long as 30 minutes ahead of the news announcement times. As much as three quarters of the pre-announcement price move appears to be driven by aggressive HFTs.

Number of Pages in PDF File: 28

Keywords: News events, front-running, news leakage, high-frequency trading, institutional investors

JEL Classification: L1, E44, E61, E65, G14, B22

Open PDF in Browser Download This Paper

Date posted: February 4, 2016 ; Last revised: February 8, 2016

Suggested Citation

Aldridge, Irene, Is Someone Front-Running You Around News Releases? (February 5, 2016). Available at SSRN: https://ssrn.com/abstract=2727366 or http://dx.doi.org/10.2139/ssrn.2727366

Contact Information

Irene Aldridge (Contact Author)
BigDataFinance.org ( email )
United States
ABLE Alpha Trading, LTD ( email )
New York, NY 10004
United States
HOME PAGE: http://www.ablealpha.com
AbleMarkets.com ( email )
PO Box 546
Southampton, NY 11968
United States
HOME PAGE: http://www.AbleMarkets.com
Feedback to SSRN

Paper statistics
Abstract Views: 1,428
Downloads: 289
Download Rank: 82,105