Collaboration Partner since January 2024
Paper: Reaction Times to Economic News in High‑Frequency Trading: An Analysis of Latency and Informed Trading Reacting to Macro‑News Announcements
Osterrieder & Schlamp (January 26, 2025)
I co-authored this study with Stefan Schlamp (Deutsche Börse) using ultra-precise timestamp data from Eurex. The work investigates how high-frequency trading systems react to macroeconomic announcements such as PMI, NFP, and FOMC statements.
Event-Study Methodology
Utilized Eurex’s high-precision timestamps to analyze the exact latency of HFT systems immediately after macro news releases.
Reaction Time Measurement
Quantified sub-millisecond delays from receipt of macro news to HFT traders’ market actions, revealing ultra-low latency and rapid assimilation of public information.
Control Experiments
Demonstrated that such ultra-fast reactions occur exclusively during macro announcements, absent during ordinary market conditions.
Informed Trading Insights
Observations suggest HFT systems behave as informed traders—they detect and react meaningfully to new macro information.
Ultra-Low Latency Detection
HFT systems exhibit millisecond and sub-millisecond reaction times to macroeconomic news releases, leveraging advanced infrastructure and algorithms.
Information Efficiency Evidence
Speed and precision of response imply that HFT contributes to rapid public information incorporation into prices.
Causal Isolation
Reaction patterns occur only during macro news events, underscoring that the behavior is intentional and not incidental.
Enhanced understanding of the roles HFT plays in market efficiency and price discovery, with implications for regulatory policy and infrastructure design.
Findings inform how exchange-level decision systems—like those at Deutsche Börse—can develop surveillance and monitoring tools tailored to detect rapid, news-driven microstructure events.
The collaboration exemplifies how narrative-driven macro research combines with empirical HFT analysis to deepen insight into market behavior under extreme information scenarios.
Our publication leverages high-frequency timestamp data to reveal how HFT systems in Europe absorb and act upon macroeconomic news with near-zero latency. This work highlights HFT’s role in rapid price discovery and demonstrates how exchange infrastructure can be designed to monitor, analyze, and understand ultra-fast trading behavior triggered by major economic announcements.