Using a change in regulatory fees in Canada in April, 2012, that affected predominantly high-frequency market makers (HFMMs), we analyze the causal impact of their activity on trading costs. The message fee caused the number of trades, quotes, and cancellations to drop by 30% driven by a...

The financial services industry is among the leading industries in IT-spending. Still, little research exists which investigates how IT influences the financial services sector. Against this background, we study how a technology which emerged within the last years affects securities trading:...

Listed companies and institutional investors have called on market regulators to introduce mechanisms to curb high-frequency (HF) trading in financial markets. In this paper we suggest relative tick size is one such mechanism. We investigate for a non-fragmented market two HF trading proxies:...

This paper develops a model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities. Pinging is defined as limit orders submitted inside the bid-ask spread that are cancelled shortly. The HFT in my model uses pinging to control his inventory or chase...