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Daily Archives: July 25, 2015

Attention Effects in a High-Frequency World

Chakrabarty, Bidisha and Moulton, Pamela C. and Wang, Xu (Frank), Attention Effects in a High-Frequency World (July 23, 2015). Available for download at SSRN: http://ssrn.com/abstract=2634621

“How does limited attention affect stock prices in today’s computer-driven financial markets? We study this issue by re-examining the effects of limited attention using a dataset that separately identifies trades made by high-frequency traders (HFTs, or computers) versus those made by non-high-frequency traders (human decision-makers). We employ a set of six attention proxies to identify earnings announcements with low investor attention: announcements made on Fridays and on days with multiple earnings announcements, and announcements followed by slow analyst forecast adjustments, high news distraction, low EDGAR download volume, and low Google search volume. Across multiple attention proxies, we find that HFT trading improves the responsiveness of prices by increasing the short-horizon price response and reducing the long-term price drift following earnings surprises, diminishing the inefficiencies previously observed around low-attention announcements. Our results highlight the changing role of attention with the rise of high-frequency trading in recent years.”

Hackers continue to leak federal government employee data

NextGov.com: “The group of hacktivists, Anonymous, claimed in a tweet on Wednesday they hacked the Census Bureau and leaked employee details online. The hack was in protest of TTIP (Transatlantic Trade and Investment Partnership), which is an agreement being negotiated between the U.S. and E.U. critics say would increase corporate power and make it more… Continue Reading

EU Economic and Financial Affairs Council Reports

“Economic, fiscal and employment policies – Recommendations to the member states – The Council issued country-specific recommendations and opinions on the economic, fiscal and employment policies planned by the member states, as well as a specific recommendation on the economic policies of the euro area.  Adoption of the texts, following their endorsement by the European… Continue Reading

Immigration Detention Risk Assessment

“Noferi, Mark L. and Koulish, Robert, The Immigration Detention Risk Assessment (July 1, 2015). 29 Georgetown Immigration Law Journal 45 (2015). Available for download at SSRN: http://ssrn.com/abstract=2635247 “In early 2013, U.S. Immigration and Customs Enforcement (“ICE”) deployed nationwide a new automated risk assessment tool to help determine whether to detain or release noncitizens pending their… Continue Reading