Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market micro-structure noise. We find that one can...

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using volatility signature...

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

This paper compares performances of bid-ask spread measures and analyzes bond-level characteristics' effects on the bid-ask spread for Turkish sovereign bonds traded in Borsa Istanbul. We use intraday order data to establish a relative quoted bid-ask spread as a benchmark and compare bid-ask...