As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

Although economists have long been aware of Jensen's inequality, many econometric applications have neglected an important implication of it: estimating economic relationships in logarithms can lead to significant biases in the presence of heteroskedasticity. This paper explains why this problem...

In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that...

This article describes a simple test to assess the feasibility of high-frequency “pump-and-dump” arbitrage. Using the tick data for Eurex Eurobund futures for 2009-2010 period, the article shows practical implementation of the test. The Eurobund futures data does not support feasibility of...

The must-have guide for anyone considering entering the exciting world of trading from homeThe biggest stumbling block for people looking to launch their own trading businesses from home is a failure to understand the complexities of the "back office" operations needed to be successful. Survival...