show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross … regarding improved volatility estimation methods …

profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to …