Among innovative technologies, Artificial Intelligence (AI) is often avouched as the game changerin the provision of financial services. In this regard, the algorithmic trading domain is no exception.The impact of AI in the industry is a catalyst for transformation in the operations and the...

We present the first direct evidence of algorithmic imprints during batch auctions. Order anticipation is an integral part of high-frequency traders' strategies. Hence, some participants may have economic incentive to encrypt noise in the data. We use machine learning to identify five types of...

In today's markets where high frequency traders (HFTs) both provide and take liquidity, what influences HFTs' liquidity provision? I argue that information asymmetry induced by liquidity-taking HFTs' use of machine-readable information is important. Applying a novel statistical approach to...