In this paper we analyze the statistical properties of three popular measures of price discovery used in empirical market micro structure research. We find that the variance ratio is a consistent estimator for the informativeness of trades or time periods if the price process follows a...

This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is...