price impact as measured by the volatility of price innovations …

of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for …

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

Trading [HFT] activity and price volatility. In the ultra-high frequency intervals around HFT there is a slight increase in … volatility. This paper also confirms that large high frequency traders make consistently profitable trades intra-day, but their …

impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation …

volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that … this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in …