This paper provides a guide to high frequency option trade and quote data disseminated by theOptions Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option...

We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering...

We integrate a market microstructure model with an exchange competition model with entry in which exchanges supply technological services that enhance market participation, and have market power. We find that technological services can be strategic substitutes or complements in platform...

Quantification techniques are popular methods in empirical research to aggregate the qualitative predictions at the micro-level into a single figure. In this paper, we analyze the forecasting performance of various methods that are based on the qualitative predictions of financial experts for...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in "retrospective" learning to...

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Short-termism need not breed informational price ine fficiency even when generating Beauty Contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations...

This paper analyzes the inter-temporal relationship between currency price changes and their expectations on intra-day frequencies. We examine how price expectations are transmitted into prices by means of order flow and how order flow is affected by past prices (feedback effects). Based on a...