This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...

Blockchain, based on the distributed ledger technology, provides immediate settlement of transactions of digital assets and direct ownership. Since settlement of transactions is immediate, the blockchain system requires an ultra short tenor interest rate curve that is always up-to-date. Today,...

We document that Algorithmic Traders (ATs) reduce analysts' stock coverage and the number of analyst research reports. This evidence reflects that ATs pre-empt trades on new information, which reduces non-AT investment-driven demand for analyst research. Consistently, the effects we document...

Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

We study a unique data set of all client trades that the six largest Canadian dealers sent to U.S. equity markets in 2014-2015. Contrary to the public perception, Canadian dealers use U.S. markets only lightly and send less than 5% of their $-volume to the U.S.; on 60% of security-day...

I investigate whether algorithmic trading (AT) affects voluntary disclosure. I predict that AT's advantage over non-algorithmic investors decreases information acquisition. Because investors are less informed, managers increase disclosure to reduce information asymmetry. I find evidence...

Using data from 2002 to 2013, we examine the impact of algorithmic trading on firm value. The results show that algorithmic trading generates net benefits for firm value through impacting stock liquidity, idiosyncratic volatility, and idiosyncratic skewness, and firms benefit more from...

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

We present a dynamic equilibrium model to understand differences and interactions between informational and trading speed advantages. The model is a stochastic asynchronous game, with endogenous trading decisions and non-cooperation among agents, in a limit order market. We show that welfare and...