The study offers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equal-payoff Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock...

This paper examines the effects of a semi-transparency event, introduction of the electronic trading system (EBS), on the market quality of a typical dealership market - the FX market. We find that increasing transparency leads to lower market volatility and higher trading volume, but the...

We study front-running by high frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low frequency traders (LFTs) who compete in portfolio management services by offering investment styles. The introduction of front-runners...