This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries...

For both the Spanish Stock Exchange (SSE) and the NYSE, we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. These asymmetries are non-negligible, in the sense that they are not driven by noise. Asymmetries happen in 47.7% (62.8%) of the...

This paper evaluates the informational content of the open limit order book by studying its role in explaining the volatility of the efficient price. We separate liquidity-driven (transitory) volatility from information-driven (efficient) volatility using a dynamic state-space co-integration...

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, we characterize ambiguity using an instantaneous time-varying...

This paper proposes a new approach to jointly model the trading process and the revisions of market quotes. This method accommodates asymmetries in the dynamics of ask and bid quotes after trade-related shock. The empirical specification is a vector error correction (VEC) model for ask and bid...

We use detailed message-level data from a high-speed market that flags the orders of high-frequency traders (HFTs), agency algorithmic traders, and non-algorithmic traders to show that only the unexpected part of HFTs’ net buying pressure, computed from the inflow of aggressive and...