This thesis consists of three single-authored chapters on high-frequency market microstructure. All of them are self-contained, and can be read independently. Chapter 1 examines the extent of herd behavior in a financial market from 2005 to 2008; in particular, whether herd selling increased during...

Introduction -- An overview of the wisdom of crowds phenomenon / Graham Kendall -- A view of the crowd from a traditional social sciences perspective / Floyd Henry Allport -- Democracy and the crowd / Talal Al -Khatib.