We examine the effect of high frequency trading on market quality from theperspective of a limit order trader. By competing with slower limit order traders, highfrequency traders (HFT) impose a welfare externality by crowding out slower non-HFTlimit orders. The order book imbalance immediately...

When examining information flow into prices, empirical literature usually focusses on direct conduits such as order submissions. Meanwhile, theory suggests that market conditions should have substantial additional effects. Empirical analyses of such effects are methodologically challenging and...

The COVID-19 pandemic has caused some of the largest - and fastest - market dislocations in modern history. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions costs increase sharply in a coordinated fashion across...