Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

Research on certain types of institutional order flow has highlighted potential destabilizing effects on market quality related to the fact that these orders can be anticipated by other market participants. Examples include the rebalancing of rules-based indexes and ETFs, including end-of-day...