We study the problem of optimally liquidating a large portfolio position in a limit order book market. We allow for both limit and market orders and the optimal solution is a combination of both types of orders. Market orders deplete the order book, making future trades more expensive, whereas...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

We directly compare retail investor execution costs with exchange execution costs. We find off-exchange retail trades execute at lower effective spreads than comparable exchange trades, primarily due to the uninformed nature of retail trades. These results hold when payment for order flow (PFOF)...