2000 NHGRI e-mail request for HGP sequencing center information, and corresponding aggregate data from NHGRI, compiled by Kris Wetterstrand

Email exchange in 2013 between Kathryn Maxson (Duke) and Kris Wetterstrand (NHGRI), regarding country funding and other data for the HGP sequencing centers. Also includes the email request for such information, from NHGRI to the centers, in 2000, and the aggregate data collected.

Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition?

I demonstrate a powerful tension between acquiring information and incorporating it into asset prices, the two core elements of price discovery. As a salient case, I focus on the transformative rise of algorithmic trading (AT) typically associated with improved price efficiency. Using a measure of the relative information content of prices and a comprehensive panel of 37,325 stock-quarters of SEC market data, I establish instead that algorithmic trading strongly decreases the net amount of information in prices. The increase in price distortions associated with the AT “information gap” is roughly $42.6 billion/year for U.S. common stocks around earnings announcement events alone. Information losses are concentrated among stocks with high shares of algorithmic liquidity takers relative to algorithmic liquidity makers, suggesting that aggressive AT powerfully deters fundamental information acquisition despite its importance for translating available information into prices.