This paper develops a strategic trading model in which the market maker has a monopoly on short-lived information. Given that modern market makers are high frequency traders, it is assumed that market makers are able to process any short-lived information event faster than other traders. Since...

This paper develops a strategic trading model in which uninformed orders are allowed to exhibit a general correlation structure that generates autocorrelation in the order flow. Since the order flow is predictable, informed traders and the market maker not only need to infer information about...

The empirical finding that market movements in stock prices may be correlated with the order flow of other stocks has led to the notion of "cross-impact" and has prompted the development of multivariate models of market impact. These models are parametrized by a matrix of impact coefficients...

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant...

This paper analyzes the limit order book events arrival dependency structure using high-dimensional Hawkes processes. We seek for recurrent relationships among events from a set of 86 event types which in addition to transactions, includes limit order submissions and cancellations taking place...

This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...

I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market. These events involve transactions and limit orders. The variance decomposition shows that improving order and worsening cancel, these are limit order events, substantially...

We consider loans being marked to market to constitute new information that is only immediately available to large institutional traders, so-called qualified institutional buyers (QIBs). Smaller investors (non-QIBs) do not have instant access to such information. Investigating the effects of...

Five of the ten largest stablecoins are backed by fiat assets. Four hold digital assets; all ten are collateralized. Seven of the ten are on the Ethereum network. Failure rates of stablecoin projects are almost as high as other digital assets. The 2015 and 2018 vintages of stablecoins have...