OTC Markets Group organizes over 10,000 securities that trade over-the-counter into one of three tiered marketplaces (OTCQX, OTCQB, and OTC Pink) based on the quality and quantity of information a firm discloses. The tier designation and listing status of the securities in this study provide a...

We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable...

This study examines relations between high frequency trading, order flow toxicity, stock price volatility during normal and high order flow toxicity periods, and predictability of changes in high frequency traders' liquidity supply and demand. By employing Volume-synchronized probability of...

Using a sample of NYSE firms from the first quarter of 2012, we show that the NBBO Depth is negatively affected by quote competition between exchanges and by excess Algorithmic Trading (AT) activity, but positively impacted by volume fragmentation. Trade execution quality also decreases with...