This study investigates the microeffects of macronews using customer price-contingent orders (i.e. stop-loss and take-profit orders) data from a large foreign exchange dealing bank in the pound/dollar market. Results reveal that price-contingent order placement intensifies 3-5 h prior to the...

The question of market efficiency is one of the most important, intriguing and debated issues in finance. The effi cient market hypothesis states that the current market price of an asset reflects all the available information concerning the asset, and, therefore, this information cannot be used...

We examine the intra-day informational effects of unexpected duration between trades on bid-ask spreads and depths. The difference between realized duration and the prediction from an autoregressive conditional duration model is used as a proxy for unexpected duration. We find that unexpected...

We examine the intra-day informational effects of unexpected duration between trades on bid-ask spreads and depths. The difference between realized duration and the prediction from an autoregressive conditional duration model is used as a proxy for unexpected duration. We find that unexpected...

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...

We study consequences of regulatory interventions in limit order markets that aim at stabilizing the market after an occurrence of a "flash crash." We use a simulation platform that creates random arrivals of trade orders, that allows us to analyze subtle features of liquidity and price...

Market participants that have a task to acquire a certain position in a listed security at a predetermined price on behalf of a third party with no time urgency, i.e. to fill a perpetual limit order, can optimize the profitability of their trading strategy in order to accomplish this task. We...

In this paper we provide evidence that the trading activity of small retail investors carries significant genuine information for the short term out-of-sample forecasting of foreign exchange rates. Our findings are based on a unique dataset of around 2000 retail investors from the OANDA FXTrade...

This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest weak evidence that technical trading activities of financial and non-financial...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...