We study if VPIN (Easley, López de Prado, and O'Hara, 2012, Review of Financial Studies 25, 1457-1493) is an efficient advance indicator of toxicity-induced liquidity crises and related sharp price movements. We find that high VPIN readings rarely signal abnormal illiquidity, and very...

The continuous limit order book, in which messages are processed one by one in the order of receipt, is a prominent design feature of modern securities markets. Theoretical models show that this design imposes a cost on liquidity providers and suggest that this cost may be reduced by switching...

We study the order exposure choice of various trader types in high-speed markets. Using message-level data to identify algorithmic (ATs) and non-algorithmic traders (NATs) we examine how technological differences affect order exposure. While both ATs and NATs hide orders, superior technology...

We provide evidence of informed trading in the European carbon market. We adapt Easley et al.'s (1996) PIN methodology to the particularities of this market by isolating the trading activity on the two carbon offsets: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We...

During its trial phase (Phase I), the EU Greenhouse Gas Emission Trading Scheme (EU-ETS) collapsed because of an over-allocation of emission allowances. We evaluate the progress of this market from the trial phase to the next commitment period (Phase II) from a microstructure angle. We show that...

We introduce a methodology to obtain friction-free estimates of Barclay and Warner's (1993) Weighted Price Contribution (WPC). With this new approach, we verify recent simulation results suggesting that trading frictions may severely bias the WPC approach. We use high frequency data from a...