Closing auctions are increasingly important liquidity events in global equity markets. Examining European markets, we show increases in closing auction activity are not solely due to increases in index investing. Elevated auction activity, especially on index rebalancing days, contributes to...

I develop a multi-period trading model to analyze how a fundamental trader adjusts his trading strategies and information production decisions to the existence of high frequency trading (HFT). I show that these decisions differ strongly depending on the type of information that the HFT can...