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...

As machines replace humans in financial markets, how is informational efficiency impacted? We shed light on this issue by exploiting a unique data-set that allows us to identify when machines access important company information (8-K filings) versus when humans access the same information. We...

97% of orders in US stock markets are cancelled before they trade, straining market infrastructure and raising concerns about predatory or manipulative trading. To understand the drivers of these extreme cancellation rates, we develop a simple model of liquidity provision and find that growth...

We exploit a quasi-experiment to examine the effects of market makers and stock analysts in three emerging stock markets. We find substantial differences in the effects across markets and, in contrast to existing literature, the effects of market makers are not always positive. Our results...

This article outlines the process of clearing and settlement for stock trades in the US. It pays particular attention to what happens when the seller of a stock fails to deliver that stock at settlement and describes the mechanisms to resolve delivery failures. Fails to deliver can occur for a...

A market is typically considered to dominate price discovery if it is the first to reflect new information about the fundamental value. Our simulations indicate that common price discovery metrics – Hasbrouck information share and Harris-McInish-Wood component share – are only consistent...

Given that corporate managers use stock prices as signals when making investment decisions, does market manipulation distort this process and impact corporate investment? We find that the increased prevalence of stock price manipulation has an economically meaningful negative effect on firms’...

Using comprehensive global data, we find that introducing a closing auction in stock markets to set closing prices typically improves liquidity, price efficiency, and market integrity. However, auction design matters -- price stabilization features and randomized closing times make auctions more...

We show that a type of market manipulation popularized in cryptocurrency markets is now also found in stock markets, an effect we term “crime contagion”. Manipulators gather traders in pseudo-anonymous online forums (e.g., Telegram) where they co-ordinate pump-and-dump attacks on stocks,...

A new market design, an “Automated Market Maker” (AMM), completely automates trade matching and liquidity provision by leveraging decentralized finance technologies including smart contracts. Can AMMs improve the trading of traditional assets? We derive a model of an AMM’s equilibrium...