We examine the role of algorithmic traders (AT) in liquidity supply and demand in the 30 DAX stocks on the Deutsche Boerse in January 2008. AT represent 52% of market order volume and 64% of nonmarketable limit order volume. AT more actively monitor market liquidity than human traders. AT...

We study trading of Bitcoin against US dollar (BTCUSD) on exchanges in three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book...

Predatory trading can discourage investors from gathering information and trading on it. However, using 11 years of equity trading data, we do not find evidence that informed investors are being discouraged. They have roughly constant volumes and profits through the sample. They are...

Investors devote significant resources to producing private information. The value of such informational is eroded when it is leaked. We study the use of multiple brokers by institutions to help mitigate information leakage. We document that trades using multiple brokers better predict future...

We investigate carbon risk in global equity prices. We develop a measure of carbon risk using industry standard databases and study return differences between brown and green firms. We observe two opposing effects: Brown firms are associated with higher average returns, while decreases in the...

In financial markets, clients entrust their capital and data to financial infrastructure providers who are vulnerable to breaches. We develop a model in which infrastructure providers compete to provide secure and efficient client services, in the presence of a cyber-attacker. In equilibrium,...

Predatory trading discourages informed investors from gathering information and trading on it. However, using 11 years of equity trading data, we do not find evidence that informed investors are being discouraged. They have roughly constant volumes and profits through the sample. They are...