Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Exchanges invest in speed-enhancing technologies and price trading services to attract investors. Investors trade due to idiosyncratic preference shocks. We show how the resulting market organization...