One rationale for the regulation of algorithmic and high-frequency trading is the perception that algorithms are prone to overreacting to market events, for example by producing unanticipated interaction effects that exacerbate volatility and disrupt efficient price formation. This articles...

We examine whether brokers in order-driven markets possess an information advantage over their customers. We compare the price impact of proprietary trades to customer trades in Borsa Istanbul. We find an asymmetric effect: While proprietary buy trades lead to a significant price response...