We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as "latency arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the...

We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large adverse selection costs on passive dark pool participants. Consistent with these costs, HFTs...

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes...

Matching algorithms are important for well-functioning financial markets. This paper examines the 2007 change by LIFFE, to move from pure pro-rata to time pro-rata allocation for the Euribor, Short Sterling, and Euroswiss futures contracts. We show that the removal of pure pro-rata matching...