We construct a new class of hybrid exchange rate models, combining macroeconomic fundamentals from a conventional Taylor rule with information from the foreign exchange interdealer market. We provide evidence that hybrid models have a superior model fit and produce more accurate in-sample...

We examine whether commonality in liquidity arises from style investing. We sort stocks into styles along widely-used size and growth dimensions, and show that style-related commonality in liquidity is significant, dominates commonality in liquidity with the rest of the market, and has more than...

We empirically investigate the participation and transactional liquidity provided by algorithmic vs. human traders during “abnormally” stressful periods, relative to what they do in “normal” periods, and the resultant implications for the quality and fragility of markets. We find strong...

We investigate empirically the impact of electronic market-makers on the reliability and the consistency with which financial markets provide transactional liquidity services. Our analysis is based on proprietary intraday data from U.S. futures markets. We document results of considerable...

We investigate, for limit order book equity markets, how trading, liquidity provision, and the overall market quality in one security are influenced by correlated inventory risk exposures of liquidity providers to other securities in their portfolios. We find strong support for Ho and Stoll...

This paper documents a new stylised fact in foreign exchange markets: intraday currency returns display prolonged reversals around the major benchmark fixings, characterised by an appreciation of the U.S. dollar pre-fixing and a depreciation thereafter. Tracing returns around the clock, the...