This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly...

This chapter examines high-frequency trading (HFT), including core groups of strategies and resulting impacts. Using order-by-order market data analysis, the chapter shows that much of what is often construed to be useless noise of order cancellations actually represents meaningful order...

A tax on financial transactions was recently proposed in the E.U. Parliament as a way to generate significant revenues. This article empirically shows that such a transaction tax would cripple modern securities markets. Specifically, the article demonstrates how a transaction tax of as little as...