In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...

We perform an empirical study of a set of large institutional orders executed in the U.S. equity market. Our results validate the hidden order arbitrage theory proposed by Farmer et al. (2013) of the market impact of large institutional orders. We find that large trades are drawn from a...

Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...