We show that behind the aggregate effects of algorithmic and high-frequency traders (AT/HFT) is substantial heterogeneity in how individual algorithms impact institutional trading costs. Using unique trader-identified regulatory data, we find that the cluster of “harmful” algorithmic traders...

How do economic agents perceive risk? We address this question through the neurosciencetheory of adaptive normalization, which predicts that after prolonged exposure to highvolatility, people perceive moderate volatility as lower than the actual level (and vice versa)due to adaptation to the...

Using new empirical measures of information leadership, we find that the role of options in price discovery is up to five times larger than previously thought. Approximately one-quarter of new information is reflected in options prices before being transmitted to stock prices, with options...

We model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon investors that are more sensitive to liquidity than to fees....

We show that cryptocurrency markets are plagued by pump-and-dump manipulation, with at least 355 cases in seven months. Unlike stock market manipulators, cryptocurrency manipulators openly declare their intentions to pump specific coins, rather than trying to deceive investors. Puzzlingly,...

In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...

In this chapter, I describe the various forms of market manipulation, ranging from classical pump and dump schemes, bear raids, and painting the tape, through to recent forms of manipulation such as spoofing, layering, pinging, and quote stuffing. I discuss the defining elements of market...

With the demise of traditional market makers and proliferation of trade execution algorithms that mix market and limit orders, it is no longer clear who provides liquidity in limit order book markets and what determines their liquidity provision decisions. To examine these issues, we develop and...

This study develops and estimates an index of the size of shadow economies in Estonia, Latvia and Lithuania, and analyses the factors that influence participation in the shadow sector. The index can be used to track shadow economies through time or across sectors and therefore is a useful tool...