We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In...

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

The gold market was not overlooked by this surge in ETF creation. Within a decade, gold ETFs have acquired a position of importance on the gold market, and the potential to influence more traditional gold instruments. My second paper investigates the trading behavior of exchange-traded gold...