Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70\% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this paper we employ a hidden Markov model to examine how the intra-day dynamics of the stock...

The paper deals with the pattern of asset price dynamics as sequence of "bull markets" and "bear markets" and with stabilizing these" long swings" through replacing continuous asset trading with electronic auctions. First, the paper sketches the channels through which the "overshooting" of...

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...