Fast trading and fragmentation of volume make equity markets complex, leading retail and institutional investors to demand sophisticated brokerage services. In a sample of stock transactions in Swedish large-cap firms, we find that brokers who show high trading sophistication when trading their...

We investigate the economic rationale behind limit order cancellations from the perspective of liquidity suppliers. We predict that an order is cancelled whenever its expected revenue no longer exceeds the expected cost and we model how order profitability variation can be determined from...

High-frequency traders (HFTs) mainly operate on public exchanges where multiple third-party buying and selling interests interact with each other. Following recent European regulatory changes (the Markets in Financial Instruments Directive II), HFT single-dealer platforms have emerged on which...

This study analyses two types of information flows in financial markets. The first type represents return information, where informed investors know whether the stock price will increase or decrease. The second type is labelled volatility information, where the direction of the stock price is...