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...

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

This research investigates the short-term nature of movements in price data. The key finding of the study is that asset returns do not evolve at the Gaussian increments commonly assumed by continuous pricing models. Instead, prices exhibit strong autocorrelation, often resulting in predictable...