We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with other HFTs that engage in latency arbitrage...

In 2008, the Central Bank of Iceland changed its discriminatory method for auctioning treasury bonds and bills, replacing it with the uniform-price method. By using the Central Bank of Iceland's bid-level data and the Nasdaq Nordic's secondary market transaction data jointly, we measure...

We analyze security-bid auctions in which two risk-neutral sellers compete for risk-averse bidders. Sellers face a tradeoff in steepness because steeper securities extract more surplus but feature lower participation ex-ante. Nonetheless, steeper securities also provide higher insurance, making...

In today's online advertising markets, it is common for an advertiser to set a long-period budget. Correspondingly, advertising platforms adopt budget control methods to ensure that any advertiser's payment is within her budget. Most budget control methods rely on value distributions of...