Along with the increasing computing power, growing availability of various data streams, introduction of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been...

In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest...

Ticks, the second-to-second trades and quotes of a market, might be considered the atoms of finance. They represent the basic, defining transactions that represent an asset in the market. Almost all financial concepts, such as returns or risk, are essentially abstractions from tick data. Like...

This thesis consists of three essays on asset pricing. Chapter 1 presents an equilibrium model to study the convergence trading of large hedge funds in segmented markets. The model provides an alternative explanation for the anomaly of a price gap between two fundamentally identical securities....

I develop a model in which traders receive a stream of private signals, and differ in their information processing speed. In equilibrium, the fast traders (FTs) quickly reveal a large fraction of their information. If a FT is averse to holding inventory, his optimal strategy changes considerably...

Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news,...

This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium, the bid and ask prices depend only on the numbers of buy and...

We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is "fast"), versus when he cannot (is "slow"). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with...

We study both theoretically and empirically option prices on firms undergoing a cash merger offer. To estimate the merger's success probability, we use a Markov Chain Monte Carlo (MCMC) method using a state space representation of our model. Our estimated probability measure has significant...