We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

An vielen Börsen sind heute elektronische Handelssysteme im Einsatz, die nach dem Auktionsprinzip funktionieren. Limitierte Aufträge werden dabei in einem Orderbuch zusammengefaßt, das von den Handelsteilnehmern eingesehen werden kann. In vielen Handelssystemen (darunter Xetra) werden dabei...

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...

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...