We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread …) and Foucault (1999). Our results cast doubt on the common wisdom that fast markets bear particularly high adverse …

information" derived from Easley and O'Hara's (1992) microstructure model. This paper revisits the role of time in measuring the … et al.'s (1997) model to account for time varying trading intensities. Our results confirm predictions from strategic … trading models put forth by Parlour (1998) and Foucault (1999) in which short durations between trades are not related to the …

Using a high-frequency dataset, we analyze the effects of risk-aversion and real-time macroeconomic variables on both …

sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which …

algorithmic trading activity. We observe that over time, the U.S. market is gaining dominance in terms of price discovery …

assumptions concerning the time or cause of a change in the dependence structure …