Government agencies routinely allow pre-release access to information to accredited news
agencies under embargo agreements. Using high-frequency data, we find evidence …

Modern markets are characterized by speed differentials, with some traders being fractions
of a second faster than others. Theoretical models suggest that such differentials may have …

Circuit breaker, an automated regulatory instrument employed to deter panic, temper
volatility, and prevent crashes, is controversial in financial markets. Proponents claim it …

How best to discern trading intentions from market data? We examine the accuracy of three
methods for classifying trade data: bulk volume classification (BVC), tick rule and …

The effective bid-ask spread measured relative to the spread midpoint overstates the true
effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The …

We examine the speed and mechanism of the price discovery process following earnings
announcements in the after‐hours market, a very illiquid trading environment. Prices reflect …

The continuous limit order book is a prominent design feature of modern securities markets.
Theoretical literature suggests that this feature has an undesirable side effect; it enables …

The consequences of price informativeness have been extensively studied in the past. In
contrast, this study goes a step backward to explore its determinants by examining whether …

Using unique transactions data for individual high-frequency trading (HFT) firms in the UK
equity market, we examine the extent to which the trading activity of individual HFT firms is …

I investigate the magnitudes and determinants of volatility spillovers in the foreign exchange
(FX) market, using realized measures of volatility and heterogeneous autoregressive (HAR) …