supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss …

volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results …

extensions raise opportunities for more transactions and liquidity in foreign exchange markets, they may also lead to higher … increased volatility mostly at the opening is that the trading hours extension attracts informed traders rather than liquidity …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …