This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...

Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...