of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

equal when transaction prices are used for the estimation. Models based on quote midpoints indicate that the electronic …

. The benchmark treatment involves only human traders. Results show that the market-making algorithm reduces mispricing by … 21% compared to the benchmark. The sniper algorithm reduces mispricing significantly less. The 5-second speed bump has no … effect on mispricing. The sniper algorithm out- performs human traders significantly, whereas profits of the market …