Dual class shares have been in existence in financial markets for more than one hundred years. One class of shares provides superior voting power, while the other class provides preferential access to economic benefits. Extant literature suggests that superior voting class shares should trade at...

We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the...

This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10 minutes throughout the trading day. We argue that this activity is the result of algorithmic trading influenced by human...

A unique dataset from NASDAQ OMX Nordic facilitates an in-depth analysis of various trader categories, shedding light on their roles within the trading ecosystem. Our investigation specifically focuses on the effect of algorithmic traders on market quality, compared to the activities of other...

We use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price....

This paper uses multivariate Hawkes processes to model the transactions behavior of the U.S. stock market as proxied by the 30 Dow Jones Industrial Average stocks before, during and after the May 6, 2010 flash crash, which lasted 36 minutes. The basis for our analysis is the excitation matrix,...

A unique data set from NASDAQ OMX Nordic allows a deep analysis of trader types' activity and provides evidence on the roles played in the trading ecosystem. We specifically investigate the impact of algorithmic traders on market quality relative to the activities of other market participants...