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 …

level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets …

dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …

volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we … order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order …