We examine the effect of high frequency trading on market quality from theperspective of a limit order trader. By competing with slower limit order traders, highfrequency traders (HFT) impose a welfare externality by crowding out slower non-HFTlimit orders. The order book imbalance immediately...

We investigate competition between traditional stock exchanges and new ‘dark' trading venues using an important difference in regulatory treatment. SEC required minimum pricing increments constrain some stock spreads, causing large limit order queues. Dark pools allow some traders to by-pass...

We show that economically insignificant tick sizes encourage undercutting behavior, harming market quality. While theory shows increasing tick sizes in unconstrained markets reduces undercutting, improving market quality, pricing grids of most markets are too coarse to test this. We examine a...