Retail trading in complex (multi-leg) options has grown significantly following the introduction of zero commissions by several brokerage firms. We show that the returns on these complex orders are negative on average (-16.4% over three-day holding periods), and that the higher the complexity,...

Unlike stocks, options lack a robust mechanism to determine closing prices. Current practices relying on last-trade prices suffer from stale information, while closing quotes are unreliable due to consolidated trading and potential manipulation. We propose using machine learning to create a...

Based on granular NASDAQ HFT data, we find that HFT activity in the stock market increases market-making costs in the options markets via two channels: the hedging channel and the arbitrage channel. HFTs' liquidity-demanding orders increase the hedging costs due to a higher stock bid-ask spread...

We study the price discovery process of cryptocurrencies that trade in unregulated and fragmented markets and have a non-traditional business model. ICOs exhibit significant inefficiencies with VRs (Variance Ratios) less than 0.7 for up to 5-years from the issue date. IEOs with a similar...

The proliferation of trading venues has resulted in a fragmented secondary markets landscape both in the US and Europe. Different factors drive the fragmentation of order flow during normal market conditions. This paper studies the composition of order flow during stressed market conditions...