We compare the accuracy of the Bulk Volume classification (BVC) to that of the conventional rules: the tick rule (TR) and the Lee-Ready algorithm (LR) for a large sample of equities. TR and LR produce significantly better classifications than does BVC. This result applies to stocks of all sizes,...

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders concentrate their trades in large and liquid...

After a long period of facilitating faster trading, exchanges are now trying to slow down trading with speed bumps. We study how this market-design innovation affects traders' reaction times, the market quality of stocks, and the operators of competing exchanges. Post speed bump, we find slower...

After a long period of facilitating faster trading, exchanges are now trying to slow down trading with speed bumps. We study how this market-design innovation affects traders' reaction times, the market quality of stocks, and the operators of competing exchanges. Post speed bump, we find slower...