Much of the liquidity supply in modern markets comes from algorithmic traders (ATs). Prompted by concerns of fragility induced by such voluntary market making, we examine ATs’ liquidity-provision role during the COVID-19 crisis. We find that amidst the turmoil as market liquidity declined ATs...

We compare the accuracy of the Bulk Volume classification (BVC) to that of the conventional rules: the tick rule (TR) and the Lee-Ready algorithm (LR) for a large sample of equities. TR and LR produce significantly better classifications than does BVC. This result applies to stocks of all sizes,...

During its trial phase (Phase I), the EU Greenhouse Gas Emission Trading Scheme (EU-ETS) collapsed because of an over-allocation of emission allowances. We evaluate the progress of this market from the trial phase to the next commitment period (Phase II) from a microstructure angle. We show that...

We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored

We show that illiquidity risk matters for asset pricing independently of the specific functional form of the asset pricing model. Employing an out-of-sample non-parametric stochastic discount factor (SDF), that we estimate from portfolio returns of the US equity market, we find that market-wide...