This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of...

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a...

A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....