We use quasi-exogenous variation in trading activity at the sub-second frequency to show that higher trade and quote intensities cause higher volatility but perhaps surprisingly have no significant effect on stock liquidity. This result has significant implications for the theories of strategic...

The assumption that mood affects investors' behavior in the field is gaining acceptance due to experimental studies and papers linking stock returns with environmental variables, such as weather and length of day. To identify mood effects this paper utilizes account level stock trading data from...

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance...