We examine the effects on market quality of alternative execution priority rules in dark pools. A size execution priority rule in the dark pool improves (reduces) welfare and liquidity (picking-off risk) for the whole lit-dark market, relative to a time execution priority rule. Interestingly,...

Central to the ability of a high frequency trader to make money is speed. In order to be first to trading opportunities firms invest in the fastest hardware and the shortest connections between their machines and the markets. This, however, is not enough, algorithms must be short, no more than a...

Noise traders are often thought to be detrimental to market stability, increasing volatility and the risk of bubbles and crashes. The effect of noise traders on the learning and development of informed traders, however, has received little attention. We consider a computational model of a...