Methods of path integrals are used to develop multi-factor probabilities of bid-ask variables for use in high-frequency trading (HFT). Adaptive Simulated Annealing (ASA) is used to fit the nonlinear forms so developed to a day of bitmex tick data. Maxima algebraic code is used to develop the...

A growing number of blockchain-based decentralized exchanges have adopted automated market makers to attract liquidity, and they replace the traditional order book system for trade execution. This paper studies the equilibrium liquidity provision via constant product market makers, one of the...

We investigate the trading of corporate bonds (c-bonds) by an open limit order book (LOB) mechanism. To do so, we use the case of the Tel Aviv Stock Exchange (TASE) as a laboratory, in which both stocks and c-bonds are traded by an LOB mechanism. Contrary to the OTC market in the US, the TASE...

At subsecond horizons bids and offers in U.S. equity markets are more volatile than what would be implied by long-term fundamentals. To assess costs and consequences, the paper suggests that traders' random delays (latencies) interact with quote volatility to generate execution price risk and...

We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders...

The use of prediction markets (PMs) for forecasting is emerging in many fields because of its excellent forecasting accuracy. However, PM accuracy depends on its market design, including the choice of market mechanism. Standard financial market mechanisms are not well suited for small, usually...

We investigate empirically the impact of electronic market-makers on the reliability and the consistency with which financial markets provide transactional liquidity services. Our analysis is based on proprietary intraday data from U.S. futures markets. We document results of considerable...

We study a simple model of market making in which high-frequency market makers can cancel limit orders quickly after receiving an adverse signal. The resulting winner's curse induces low-frequency market makers to widen bid-ask spreads. Liquidity in the market may deteriorate unless...

Listed companies and institutional investors have called on market regulators to introduce mechanisms to curb high-frequency (HF) trading in financial markets. In this paper we suggest relative tick size is one such mechanism. We investigate for a non-fragmented market two HF trading proxies:...