In illiquid and fragmented limit order book markets, asynchronously arriving buyers and sellers have a coordination problem. This problem is particularly strong mid-day, when trading is generally thin. We evaluate a market structure reform at Nasdaq Nordic, where the continuous trading session...

We test competing theories of liquidity dynamics during extreme price movements (EPMs). We find that market makers strategically allow for price pressures and are compensated from correcting pricing errors. As a result, liquidity provision intensifies towards the end of a typical EPM. This goes...

We investigate how the introduction of market data fees impacts trading and market quality. We find that data fees decrease the fee-introducing exchange’s market volume, its time with competitive quotes, its visible liquidity, and its role in price discovery. We observe brokers routing market...

Using the Baker, Bloom, and Davis (2013) news-based measure to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. A one-standard deviation increase in EPU is associated with a 1.5% increase in forecasted 3-month...