This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Using a one-dimensional Quantum Hydrodynamic (QHD) Model, we investigate electron-acoustic waves (EAWs) in a two-electron-populated degenerate Fermi plasma (which is composed of groups of hot and cold electrons and stationary ions) with exchange and correlation effects. The analysis is...

Current financial order books and subsequent Electronic Communications Network trades require investors to submit orders to centralized exchanges which allow buyers and sellers to meet at market asset prices. This creates an unnecessary trusted third party between investors which then reports...

We address two important recent trends in equity markets---high-frequency trading (HFT) and trade fragmentation, in this paper and join the ongoing debate regarding their social benefits. We take the European equity market as a laboratory as it has been confronting the issue since its adoption...

Jumps and cojumps are examined in the covariance matrices of high-frequency financial markets. We propose a new method for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model misspecification errors, is able to identify multiple...

We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in FBA activity, which implies that slower traders...