We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Algorithms enable investors to locate trading opportunities, which raises gains from trade. Algorithmic traders can also process information on stock values before slow traders, which generates adverse selection. We model trading in this context and show that, for a given level of algorithmic...

Fragmentation has fostered competition among trading venues. While some platforms rely on a preopening phase leading to an opening call auction, some others start the day without such mechanisms. Using a unique dataset of stocks cross-traded on Euronext (which features a pre-open mechanism) and...