firms is based on adequate liquidity and trading interest across different strike prices in the options market, ensuring …

We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and … trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of … informed trading on firm characteristics that is largely consistent with intuition and earlier theory and empirical evidence …

, IOI) from the NASDAQ as a natural experiment to investigatethe impact of voluntary disclosure of trading intent on market …

This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs … the return of technical trading rules. For strategies that yield a positive return when they experience no delay, a delay … delays larger than 50 milliseconds. In addition, the importance of speed for trading rule performance increases over time …

This paper documents that speed is crucially important for high frequency trading strategies based on U … and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around … macroeconomic news. Increases in algorithmic trading activity have a positive (mixed) effect on market quality measures when we use …

In this paper, we infer motives for trade initiation from market sidedness. We define trading as more two-sided (one …, trading is more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided (1) before …

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991 … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume … allocation strategies might be designed to reduce trading costs. …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …