We examine realized spreads and price impact in clock and trade time following each trade in all common stocks from 2010-2017. The term structure of realized spreads (price impact) is sharply downward (upward) sloping, implying that (a) market maker profitability is sensitive to speed, and (b)...

We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly...