How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex-ante measure of the tone of a message to study...

In this paper, we investigate liquidity supply and demand around price jumps in a pure order driven stock market using a detailed tick frequency data set on the Euronext 100 index. The advantage of this database is to allow us to disentangle two major evolutions in European financial markets:...

This paper reviews recent theoretical and empirical research on high-frequency trading (HFT). Economic theory identifies several ways that HFT could affect liquidity. The main positive is that HFT can intermediate trades at lower cost. However, HFT speed could disadvantage other investors, and...

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

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 examine the impact of changes in market microstructure, particularly algorithmic trading (AT) and high frequency trading (HFT), on trade size across 24 stock exchanges around the world. Using colocation services as a proxy for AT and HFT, we find mixed results on the impact of AT and HFT on...

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...

Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70\% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this paper we employ a hidden Markov model to examine how the intra-day dynamics of the stock...

This paper discusses descriptive statistics on U.S. equity Alternative Trading Systems (ATSs, some of which are referred to as “dark pools”). The paper is intended to inform public discussion of the role and regulation of ATSs. While ATSs operate markets similar in some ways to the...