The effectiveness of liquidity provision by HFT firms via the limit order book is an unexplored but central policy issue. Using a unique dataset consisting of limit order placement, execution, and cancellations on Nasdaq, we find that HFT firms do not cancel orders more frequently than non-HFT...

This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those...

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set...

The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thanks to its strong analytical tractability...

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency...

This paper proposes and studies an optimal placement problem in a limit order book. To gain some analytical insights, a simple correlated random walk model with mean-reversion is proposed for the best ask price. Optimal placement strategies for both single-period and multi-period cases are...

The hidden order is currently increasingly popular as a standard feature of electronic limit order book markets. The invisible order allows traders to hide all, or partially hide their orders to avoid exposure to risk. I propose a new hidden order detection algorithm for the limit order book to...

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...