This empirical study uses a unique recent data set provided by the French regulator "Autorité des Marchés Financiers" and gives some evidence concerning the impact of aggressive orders on the price formation process and the information content of these orders according to the different order...

Using a change in regulatory fees in Canada in April, 2012, that affected predominantly high-frequency market makers (HFMMs), we analyze the causal impact of their activity on trading costs. The message fee caused the number of trades, quotes, and cancellations to drop by 30% driven by a...