We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of sixty New York Stock...

We explore marketplace design in the context of a B2B platform specializing in liquidation auctions. Even when the platform's aggregate levels of supply and demand remain fixed, we establish that the platform's ability to use its design levers to manage the availability of supply over time...