This chapter uncovers new insights on the dynamic volume–return relationship. We verify whether non-informational or informational trading can explain the volume-return relation in the three largest stock exchanges. We apply the cross-quantilogram approach to investigate the directional...

We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order...

Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees' asset pricing model developed by Cochrane et al. (2007) guides our experimental design and its predictions serve as our source...