Using a new and unique data set of foreign currency settlement instructions provided by CLS Bank, we investigate activity and liquidity in the foreign exchange market. The settlement data are observed at high frequency and span a wide range of participants and trading mechanisms. In the major...

US equity market data are currently timestamped to nanosecond precision. This permits models of price dynamics at resolutions sufficient to capture the reactions of the fastest agents. Direct estimation of multivariate time series models at sub-millisecond frequencies nevertheless poses...

We demonstrate that increasing trading fees at a decentralized exchange (DEX) can increase DEX trading volume. This result arises due to the fact that higher DEX fees can endogenously reduce the price impact of trading at the DEX, thereby reducing the overall DEX trading cost and driving trading...

This note describes how to determine the best bid and offer (BBO) from the NYSE's monthly TAQ data, the source that underlies most academic research. At a given point in time the best bid is the maximum bid, taken over the set of current bids posted by all venues. This value persists until one...

We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by high-frequency trading firms. We propose a new measure of low-latency activity that can be constructed from publicly-available NASDAQ data to...

Online appendices for FX Liquidity and Market Metrics ("https://ssrn.com/abstract=2912976" https://ssrn.com/abstract=2912976 or DOI:10.2139/ssrn.2912976). Appendix 1 contains expanded tables and figures. Appendix 2 describes reconciliation and comparison of the CLS settlement data with other...

This study examines various measures of trading costs estimated from high-frequency data, the extent to which these measures can be estimated from daily data, and finally the relation between the daily-based proxies and stock returns (where trading cost is viewed as a characteristic). The...

This paper presents a cross-sectional empirical investigation of the relations between volatility and various measures of activity on the Island ECN, an Alternative Trading System for US equities that is organized as an electronic limit order book. We find that higher volatility is generally...

Motivated by economic models of sequential trade, empirical analyses of market dynamics in the U.S. equities market frequently estimate liquidity from regressions of price changes on transaction volumes, where the latter are signed (positive for buyer-initiated trades; negative for...