We suggest a two-step approach in detecting HFT activity from order and trade data. While the first step focuses on multiple actions of an order submitter in low latency, the second searches for the surroundings of these orders to link related orders. On a sample of 2015 data from Borsa...

This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups...

High-frequency trading (HFT) has been dominating the activity in developed financial markets in the last two decades. Despite its recent formation, the literature on the impacts of HFT on financial markets and participants is broad. However, there are ongoing debates and unanswered questions...

This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...