We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

We extend the classic ''martingale-plus-noise'' model for high-frequency returns to accommodate an error correction mechanism and endogenous pricing errors. It is motivated by (i) novel empirical evidence documenting that microstructure noise exhibits frequently changing patterns of serial...

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Large investors can trade in either the primary market or the off-exchange market and induce liquidity externalities. Liquidity suppliers in the primary market face a trade-off between...

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium,...

This paper provides a guide to high frequency option trade and quote data disseminated by theOptions Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option...

This article assesses economic growth in the context of consumer saturation. We show that consumer based economies tend to suffer from demand saturation after an initial and prolonged period of growth. However, structural demand saturation irrevocably triggers a Minsky-type super cycle that is...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...