This paper provides evidence on the benefits of faster proprietary data feeds from stock exchanges over the regulated “public” consolidated data feeds. We measure and compare the National Best Bid and Offer (NBBO) prices in each data feed at the same data center. Price dislocations between...

We examine empirically the role of high-frequency traders (HFTs) in price discovery and price efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing...

We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility...

We examine empirically the role of high-frequency traders (HFTs) in price discovery and price efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing...

We examine the effects of high frequency traders (HFTs) on liquidity using the September 2008 short sale ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and...

We analyze the contribution to price discovery of market and limit orders by high frequency traders (HFTs) and non-HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders....