Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are...

The electron microscope improved our vision by a factor of one million. Humans could finally see atoms. This study aims for a similar leap by studying trades at nanoseconds, a million times more precise than often used milliseconds. This enables one to observe asset re-allocations among...

This paper proposes a method to compute ex-ante trading costs at the intraday level from limit order books. Using nearly 500 of the largest traded companies in the NYSE ArcaBook, we show that these costs have nontrivial intraday dynamics, are negatively related to volume and positively related...

We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...