Exploiting NASDAQ order book data and difference-in-differences methodology, we identify the distinct effects of trading pause mechanisms introduced on U.S. stock exchanges after May 2010. We show that the mere existence of such a regulation constitutes a safeguard which makes market...

Using high-frequency data from the European Climate Exchange (ECX), we examine the determinants of price impact of €21 billion-worth of block trades during 2008-2011 in the European carbon market. We find that wider bid-ask spreads and volatility are characterised by smaller price impact....

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...