We examine the information content of retail order flow relative to dark institutional and lit market order flow. After controlling for volume effects, we find that retail order flow is more informed than dark institutional order flow. The majority of price discovery on dark markets comes from...

The PIN model and its extensions have proven challenging in their estimation, as they suffer from several computational problems. We set in this paper to address these computational issues by proposing the use of the expectation-conditional maximization (ECM) algorithm to estimate the various...

The multilayer probability of informed trading (MPIN) model, developed by Ersan (2016), releases the assumption of single type of information events in the original PIN model of Easley et al. (1996). Identification of the number of layers in a dataset is applied through a layer detection...

This paper presents a brief historical perspective on the evolution of equity market structure and considers implications microstructure analysis has had for improving market structure. Since the 1975 Securities Acts Amendments mandated the development of a National Market System, the robust...

In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential...

This paper presents detailed insights into the microstructural characteristics of several African Lower and Lower-Middle Income Countries (LLMICs) foreign exchange markets and the implications of these characteristics for macroeconomic management. It draws on 13 semi-structured interviews with...

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...

This paper investigates the implication of correlation ambiguity to investor behavior, asset pricing and issuers' listing choices from a market microstructure perspective. We introduce two markets to a multi-asset model: Market A is transparent and Market B is opaque, or Market A with low and...