We study the link between informed trading and co-movement in illiquidity. We argue that investors concerned with liquidity and fire-sale shocks respond to an increase in informed trading by shifting their portfolios away from stocks with high information asymmetry. This rebalancing causes a...

Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this decision is understanding the uncertainty of the execution of a limit order, that is, the fill probability or the probability that an order...

This paper examines how the introduction of a dark pool impacts price discovery, market quality, and aggregate welfare of traders. I use a four-period model where rational and risk-neutral agents choose the order type and the venue and obtain the equilibrium numerically. The comparative statics...

We empirically examine on-exchange hidden liquidity in the context of informed trading, pricing efficiency, and trading costs. Using a number of proxies for informativeness and a number of different specifications, we find that when an on-exchange option to hide orders exists, traders prefer to...

Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity provided by the NYSE limit order book. We also examine how the commonality documented above can explain the commonality in bid-ask spread, and how this commonality in limit order...

This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...