We analyze a nonlinear rational expectations equilibrium model with an ex post endogenous liquidity provision decision. Speed and information technology advantages allow endogenous liquidity providers (ELPs) to switch between limit and market orders after observing private information. This...

This paper examines how technological innovations drive fast trading investment for both speculators and exchanges and their impact on market. The negative externality of the speed acquisition from fast speculators can result in excessive investment, which is intensified as speculators' speed...

Speed hierarchy not only motivates fast trading competition on less precise information but also renders slower traders more informative. As a result, endogenous speed acquisition in equilibrium affects how information is produced and spread. When information diffusion is characterized by its...

We utilize a two-period Cournot model with uncertain demand to investigate the relationship between the short-run strategic supply and the long-run market power through the channel of active data management. The consumer data, which helps firms to predict the long-run uncertain demand, is...

With imperfect price interpretation, quantitative investing — trading strategies based on the information extraction from quantitative analysis of price — can affect price informativeness through two distinct economic mechanisms. Directly, it brings more informed capital with superior price...