Defining α in high frequency trading is more complicated than in low frequency since not all strategies are based on price forecasts. More components are required, as is an understanding of the interactions between them. In this paper, we develop the α attribution model for high frequency...

This paper examines every NASDAQ ITCH feed message for the S&P 500 stocks for 2012 and identifies clusters of extremely high and extremely low limit order cancellation activity. We find results consistent with the ideas that cancel clusters are the result of high frequency traders jockeying for...

Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund's return to the distinct decisions the asset manager makes in attempting to achieve this performance. This article extends this idea to provide a workable framework for high...

We use a novel instrument--the local lineup position of business channels--to show that media exposure from cable television increases equity participation by increasing awareness of the stock market for first-time investors. Economically, a one-standard deviation reduction in the lineup...

Extreme events in financial markets can arise from fundamental information, but they can also arise from latent hazards embedded in the market design. This is systemic risk and somebody bears this risk. These events add to risk and their probability and severity must be accounted for by market...