In the following paper we analyze the strategic competition between fast and slow traders. The model of Kyle (1985) is adapted to analyze the effect of speed in such a model. A High Frequency Trader (HFT) is defined as a trader that has the ability to react to information faster than other...

I provide evidence that investor size matters in the market for short-term securities. Between January 2011 and November 2020, the largest asset management families obtained significantly higher promised returns from their money market securities than smaller families. Furthermore, I show that...

I consider a rational expectations framework in which attention-constrained individuals compete against each other and institutions. The model reconciles a set of empirical facts that cannot be simultaneously explained by standard theories: retail trader portfolios are highly correlated, retail...