The relatively recent phenomenon of high-frequency trading has had a profound impact on
the micro-structure of financial markets. Several authors hailed it as a provider of liquidity …

From New York to London, from Chicago to Tokyo, and from Frankfurt to Sydney, capital
markets the world over have undergone revolutionary changes during the past two decades …

Exploiting a unique identification strategy based on inaccurate news analytics, we document
an effect of news analytics on the market independent of the informational content of the …

We analyze the relation between algorithmic trading and liquidity using a novel data set from
the Austrian equity market. Our sample covers almost 4.5 years, it identifies the market share …

Geoeconomics has attracted sustained attention in recent years, but the role of independent
directorsL geographic distance in investment efficiency remains unexplored. We explore the …

We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures
market around high-impact macroeconomic announcements and extreme events. Around …

This study investigates the role of algorithmic trading in the price discovery process. We
estimate a state space framework which decomposes stock prices into permanent price …

We examine how algorithmic trading (AT) changes the trading environment for corporate
insiders, specifically in terms of motivation to trade and timing of trade. Using SEC Form 4 …

We study the effects of quantitative investing, an increasingly popular investment style, on
financial market quality. Within a noisy REE model of strategic speculation with two informed …

Prior literature finds that algorithmic trading (AT) benefits the financial market by improving
liquidity and accelerating the incorporation of existing information into prices. This paper …