Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with other HFTs that engage in latency arbitrage...

Various parametric models have been developed to predict large volatility matrices, based on the approximate factor model structure. They mainly focus on the dynamics of the factor volatility with some finite high-order moment assumptions. However, the empirical studies have shown that the...