SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is around 40% and growing. High Frequency strategies are those characterized by a brief holding period, which can range from a split second to...

We demonstrate how a machine learning algorithm can be applied to predict and explain modern market microstructure phenomena. We investigate the efficacy of various microstructure measures and show that they continue to provide insights into price dynamics in current complex markets. Some...

We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and informational advantages. Information advantages may restore excessively toxic markets. Speed technology may reduce resource...

Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price discovery and markets' information shares. Starting...

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

It is an open secret that most investment funds actually underperform the market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading is now so common, it accounts for over 80% of all trades and is the domain of professionals. Can it also help the...

Unbeknownst to the public, most investment funds actually underperform the broader market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading now accounts for over 80% of all trades and is the domain of professionals. Can it also help the small...