High-frequency trading (HFT) has been dominating the activity in developed financial markets in the last two decades. Despite its recent formation, the literature on the impacts of HFT on financial markets and participants is broad. However, there are ongoing debates and unanswered questions...

This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...

Ghost liquidity (GL) in fragmented markets, is defined as the observable but not accessible liquidity that is mostly associated with the rapid cancellations of multiple orders in different venues when an order is executed in a venue. We track the prevalence and the impacts of GL in the case of a...