This paper models how chatroom traders, forming a coalition via social media platforms, influence the stock price in the presence of large and strategic short sellers. The economic consequences of this dynamic game are studied in a micro-founded quasi-competitive equilibrium framework, which is...

This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly...

Using complete intraday orders data, this paper compares strategic liquidity provision of institutions and individuals during price jumps. Consistent with risk-return trade-off models, we find evidence that liquidity provision is increasing with jump size (i.e., strategic liquidity provision)...