This paper is the first to characterize the intraday performance of leveraged exchange-traded funds (ETFs), for which I introduce a superior volatility estimator for high-frequency analysis. Leveraged ETFs, which attempt to reproduce two or three times the daily performance of their underlying...

Does high-frequency trade increase or decrease volatility in financial markets during crises? We introduce a novel intraday volatility measure for ETFs, and find that during the COVID-19 crisis period, the withdrawal of high-frequency trade from large stock ETFs increases intraday ETF volatility...

We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two state variables: stock price and...

Following the recent financial crisis, increasing the transparency of credit default swap (CDS) markets has been a popular goal among regulators. We examine how changes in the transparency of the CDS market can impact liquidity in the corresponding equity market. We first extend a model of...

Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting as a market-maker. Using a sample of sixty stocks over...

Exchange Traded Funds (ETFs) have existed since the late 1980s, but were first traded on commodity markets in the early 2000s. Their inception has been linked by some market analysts with the large commodity price increases and volatility evident between 2007 and 2009. This research analyses...

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P500 index option...