We develop a two period model of trade where a common value asset is traded against a numeraire in two parallel markets. An insider who knows the final value of the asset exploits his private information in both markets. Some traders, called high frequency (HF) traders, observe the total orders...

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality...

I investigate the fragmentation under high frequency trading (HFT) popularity. I make a toy model of security exchange market competition. With the friction like the Bertrand competition with differentiated goods, the effect of the number of venues on bid ask spread depends on the business...

High frequency trading (HFT) is a financial investment execution technique with a growing presence in world financial markets. Investment firms engaging in HFT use computer automated algorithms to trade financial instruments at high speeds. There is much debate as to what HFT entails,...

We present the first direct evidence of algorithmic imprints during batch auctions. Order anticipation is an integral part of high-frequency traders' strategies. Hence, some participants may have economic incentive to encrypt noise in the data. We use machine learning to identify five types of...

We study how high-frequency traders (HFTs) strategically decide their speed level in a market with a random speed bump. If HFTs recognize the market impact of their speed decision, they perceive a wider bid-ask spread as an endogenous upward-sloping cost of being faster. We find that the speed...

Blockchain, based on the distributed ledger technology, provides immediate settlement of transactions of digital assets and direct ownership. Since settlement of transactions is immediate, the blockchain system requires an ultra short tenor interest rate curve that is always up-to-date. Today,...

Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility...