This paper studies the ability of non-informational order imbalances (buy minus sell volume) to predict daily stock returns at the market level. Using a model with three types of participants (an informed trader, liquidity traders, and a finite number of arbitrageurs), we derive predictions...

In response to a regulatory enforcement, the Island electronic communications network recently stopped displaying its limit order book in the three most active exchange-traded funds (ETFs). As a result of this reduction in pre-trade transparency, this dominant venue's share of trading activity...

All option trades must occur on exchanges, which typically offer auctions that improve prices over existing quotes. Wholesalers, that purchase orders from brokers, initiating auctions must be willing to trade at the existing best quote or better. For S&P500 stocks, auctions are 23% of options...

We study linkages between stock exchanges’ proprietary data sales and trading activity by analyzing the introduction of a new data product, New York Stock Exchange’s Integrated Feed (NYSE IF). Consistent with trading and information on trading being complements, firms that subscribed to NYSE...