We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage). Stocks in which the firm accumulates...

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures (i) better capture institutional trading costs; and...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

We use quasi-exogenous variation in trading activity at the sub-second frequency to show that higher trade and quote intensities cause higher volatility but perhaps surprisingly have no significant effect on stock liquidity. This result has significant implications for the theories of strategic...

Conventional estimates of costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency and many traders time executions by buying (selling) when the option fair...