What question did this study set out to answer?

To formulate a unified stochastic clock framework explaining how the rate of information arrival dictates intraday trading intensity, volume, realized volatility, and execution risk.

August 14, 2026Financial Economics LettersOpen Access

Information Arrival as a Stochastic Clock for Intraday Trading

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BVBen Van Vliet

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Overview

Theoretical modeling reveals that information arrival acts as a stochastic clock governing intraday trading volume and volatility, indicating that market speed scales quadratically with news...

Key Points

To formulate a unified stochastic clock framework explaining how the rate of information arrival dictates intraday trading intensity, volume, realized volatility, and execution risk.
Constructed a compound Hawkes model combining a deterministic bathtub-shaped baseline intensity, a marked linear trade-feedback component, and a squared-mark news channel.
Specified signed news marks to enter expected price changes linearly while entering trading intensity quadratically.
Derived asymptotic limits for price variance using a clock law of large numbers and formulated a closed-form parametric volume-weighted average price (VWAP) profile.
Equal-magnitude positive and negative news events generate opposite expected price responses but identical trading activity and conditional residual-variance responses.
The trade-time component of midpoint log price achieves a diffusive limit with variance directly proportional to average trading intensity.

Cite This Study

Ben Van Vliet (2026) studied this question.

synapsesocial.com/papers/6a7ec79cb70b84ec8b914108 https://doi.org/10.58567/fel05030004

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August 14, 2026Financial Economics LettersOpen Access

Information Arrival as a Stochastic Clock for Intraday Trading

View Full Paper

Ask AI

Bookmark

Authors

BVBen Van Vliet

Discussion

Member takes

Overview

Theoretical modeling reveals that information arrival acts as a stochastic clock governing intraday trading volume and volatility, indicating that market speed scales quadratically with news...

Key Points

To formulate a unified stochastic clock framework explaining how the rate of information arrival dictates intraday trading intensity, volume, realized volatility, and execution risk.
Constructed a compound Hawkes model combining a deterministic bathtub-shaped baseline intensity, a marked linear trade-feedback component, and a squared-mark news channel.
Specified signed news marks to enter expected price changes linearly while entering trading intensity quadratically.
Derived asymptotic limits for price variance using a clock law of large numbers and formulated a closed-form parametric volume-weighted average price (VWAP) profile.
Equal-magnitude positive and negative news events generate opposite expected price responses but identical trading activity and conditional residual-variance responses.
The trade-time component of midpoint log price achieves a diffusive limit with variance directly proportional to average trading intensity.

Cite This Study

Ben Van Vliet (2026) studied this question.

synapsesocial.com/papers/6a7ec79cb70b84ec8b914108 https://doi.org/10.58567/fel05030004

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