This dissertation contains three essays that examine the interaction between informedand uninformed parties in securities markets. Given the influential role that informed traders have in shaping securities prices, trading activity, market-wide and even economy wide outcomes, this research...

This paper investigates the relationship between the minimum price variation and market quality variables for 3 interest rate futures contracts on the Sydney Futures Exchange. Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002, which includes the change...

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional...