We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave … increased contribution to price discovery by the smaller exchange. Liquidity worsens for large caps due to increased sniping but … improves for mid caps due to fast liquidity provision. Trading volume on the smaller exchange declines across all stocks. We …

We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …

-term speculators provide liquidity in markets? , How much benefit do these speculators add? , and Can extremely low-latency in markets … number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid …

limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously …. Empirically, we confirm the predictions that the fraction of fast traders (i) reduces the equilibrium liquidity supply and (ii …

from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …-lag relationships because of predictability, even when trading costs, latency, and execution-related risks are considered …

vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a … liquidity can affect the aggregate degree of price efficiency …

increases the degree of diversity of quotes in the order book, for given liquidity, order book depth and size of order flows …