Paper
Breaking news
Authors
Lars Winkelmann, Wenying Yao
Abstract
This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic fundamentals. Within a high-frequency signal-in-noise model, we show that triggering rules complicate statistical inference for the price impact of news, rendering conventional non-parametric jump estimators inconsistent. Building on this insight, we develop a regression-based test for fundamental pricing that accounts for non-vanishing transition times. The test compares transition price changes to efficient jumps implied by observable factors. Our empirical analysis of CME E-mini S\&P 500 futures shows that Breaking news are associated with systematic deviations from fundamental pricing, predominantly in the form of overshooting. Our findings highlight a regulatory trade-off: the appeal of simple and transparent circuit breaker rules must be weighed against their cost of preventing fundamentals from being priced contemporaneously, thereby creating adverse incentives and introducing distortions.
Metadata
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Raw Data (Debug)
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"raw_xml": "<entry>\n <id>http://arxiv.org/abs/2603.22835v1</id>\n <title>Breaking news</title>\n <updated>2026-03-24T06:12:45Z</updated>\n <link href='https://arxiv.org/abs/2603.22835v1' rel='alternate' type='text/html'/>\n <link href='https://arxiv.org/pdf/2603.22835v1' rel='related' title='pdf' type='application/pdf'/>\n <summary>This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic fundamentals. Within a high-frequency signal-in-noise model, we show that triggering rules complicate statistical inference for the price impact of news, rendering conventional non-parametric jump estimators inconsistent. Building on this insight, we develop a regression-based test for fundamental pricing that accounts for non-vanishing transition times. The test compares transition price changes to efficient jumps implied by observable factors. Our empirical analysis of CME E-mini S\\&P 500 futures shows that Breaking news are associated with systematic deviations from fundamental pricing, predominantly in the form of overshooting. Our findings highlight a regulatory trade-off: the appeal of simple and transparent circuit breaker rules must be weighed against their cost of preventing fundamentals from being priced contemporaneously, thereby creating adverse incentives and introducing distortions.</summary>\n <category scheme='http://arxiv.org/schemas/atom' term='econ.EM'/>\n <published>2026-03-24T06:12:45Z</published>\n <arxiv:primary_category term='econ.EM'/>\n <author>\n <name>Lars Winkelmann</name>\n </author>\n <author>\n <name>Wenying Yao</name>\n </author>\n </entry>"
}