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 develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

We study how intra-firm collocation — geographic clustering of business establishments owned by the same parent company — influences performance, decomposing the collocation effect into stocks and flows to learn about the mechanisms behind intra-firm agglomeration. Using Census micro data on...