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...

This paper deals with the informativeness of iceberg orders, also known as hidden limit orders (HLOs). Namely, we analyze how the market reacts when the presence of hidden volume in the limit order book is revealed by the trading process. We use high frequency book and transaction data from the...

For both the Spanish Stock Exchange (SSE) and the NYSE, we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. These asymmetries are non-negligible, in the sense that they are not driven by noise. Asymmetries happen in 47.7% (62.8%) of the...

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, we characterize ambiguity using an instantaneous time-varying...

This paper proposes a new approach to jointly model the trading process and the revisions of market quotes. This method accommodates asymmetries in the dynamics of ask and bid quotes after trade-related shock. The empirical specification is a vector error correction (VEC) model for ask and bid...

Much of the liquidity supply in modern markets comes from algorithmic traders (ATs). Prompted by concerns of fragility induced by such voluntary market making, we examine ATs’ liquidity-provision role during the COVID-19 crisis. We find that amidst the turmoil as market liquidity declined ATs...

We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across...

We compare the accuracy of the Bulk Volume classification (BVC) to that of the conventional rules: the tick rule (TR) and the Lee-Ready algorithm (LR) for a large sample of equities. TR and LR produce significantly better classifications than does BVC. This result applies to stocks of all sizes,...

We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored

The quot;magnetquot; or quot;gravitationalquot; effect hypothesis asserts that, when trading halts are rule-based, investors concerned with a likely impediment to trade advance trades in time. This behavior actually pushes prices further towards the limit. Empirical studies about the magnet...