We investigate the mechanism by which price discovery takes place within the futures market for U.S Treasury securities. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, we compare how orderflow contributes to price discovery as well as...

In light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We...

In this paper I test the hypothesis that trading activity in the stock and bond markets contains important marketwide pricing information. Using a large sample of actively traded stocks and U.S. Treasury securities, I find that aggregate order imbalances play a strong role in explaining...

We use the NASDAQ market making context to study the role of geographic proximity in the price discovery of a firm's stock. We show that market makers closer to the firm's headquarters spend more time at the inside bid and ask quotes, initiate larger changes in the quotes, and account for...

We characterize jump dynamics in stock market returns using a novel series of intraday prices covering over 80 years. Jump dynamics vary substantially over time. Trends in jump activity relate to secular shifts in the nature of news. Unscheduled news often involving major wars drives jump...

This paper addresses the economic value of estimated portfolio rules under general utility. Incorporating estimation risk magnifies errors associated with mean-variance approximations to the economic value of portfolio rules. In fact, for some preference specifications, including CRRA utility,...