Speed Acquisition

82 Pages Posted: 1 Oct 2016 Last revised: 8 Dec 2018

See all articles by Shiyang Huang

Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics

Bart Z. Yueshen

INSEAD - Finance

Date Written: December 3, 2018

Abstract

Speed is a salient feature of modern financial markets. This paper studies investors’ speed acquisition, alongside their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process temporally and affecting price informativeness nonmonotonically. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition, their performance, and trading volume.

Keywords: speed, information, technology, price discovery, price efficiency

JEL Classification: D40, D84, G12, G14

Suggested Citation

Huang, Shiyang and Yueshen, Bart Zhou, Speed Acquisition (December 3, 2018). Available at SSRN: https://ssrn.com/abstract=2845864 or http://dx.doi.org/10.2139/ssrn.2845864

Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics ( email )

Pokfulam Road
Hong Kong
China

Bart Zhou Yueshen (Contact Author)

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France

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