The trading of securities on multiple markets raises the question of each market's share in the discovery of the …

This paper documents that speed is crucially important for high frequency trading strategies based on U … and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around … macroeconomic news. Increases in algorithmic trading activity have a positive (mixed) effect on market quality measures when we use …

trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust … estimation of market returns by providing a new indicator that accounts for the information content in prices and trading volumes …

. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two …

public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher …-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when …, and the volume of informational trading is high. Over-reliance on public information results from investors' under …

effect is consistent with the notion that trading on common information takes place first in the large stocks and is then …