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 …

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

these latencies, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid … shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic …