We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in FBA activity, which implies that slower traders...

This paper examines the relationship between countries’ bilateral trade with the United States that is not due to gravity (non-gravity trade) and the distribution of income within countries. In countries where only a small share of the population is educated, an increase in non-gravity trade...

Using a one-dimensional Quantum Hydrodynamic (QHD) Model, we investigate electron-acoustic waves (EAWs) in a two-electron-populated degenerate Fermi plasma (which is composed of groups of hot and cold electrons and stationary ions) with exchange and correlation effects. The analysis is...

Current financial order books and subsequent Electronic Communications Network trades require investors to submit orders to centralized exchanges which allow buyers and sellers to meet at market asset prices. This creates an unnecessary trusted third party between investors which then reports...

We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer-initiated trades has a significantly positive price impact. The impact is stronger with an...

Recent European regulatory restrictions on dark trading induced an increase in sub-second frequent batch/periodic auctions (PA). We exploit this development to investigate the effects of PA on market quality. The restrictions are linked to an observable increase in PA and an economically...

In present-day major financial markets around the world, adaptive automated trading systems are responsible for many more transactions than are human traders, and human traders have largely been replaced by trading machines that can process super-human quantities of data and react to market...

We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large adverse selection costs on passive dark pool participants. Consistent with these costs, HFTs...