How does the predictability of future noisy flows impact asset prices? We answer this question by developing a dynamic multi-asset price impact model. The model setup is general---both flows and fundamental returns can be correlated for the cross-section of assets, and flows can exhibit a...

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...