Markets are different now, transformed by technology and high frequency trading. In this
paper, I investigate the implications of these changes for high frequency market …

This paper shows that jumps in financial asset prices are often erroneously identified and
are, in fact, rare events accounting for a very small proportion of the total price variation. We …

Over the last two centuries, technological advantages have allowed some traders to be
faster than others. In this article, the authors argue that contrary to popular perception, speed …

This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

This paper documents that speed is crucially important for high-frequency trading strategies
based on US macroeconomic news releases. Using order-level data on the highly liquid …

We study the impact on market liquidity of the introduction of a penalty for high order-to-trade
ratios (OTRs), implemented by the Italian Stock Exchange to curtail high-frequency quote …

At the 2013 CFA Institute Financial Analysts Seminar, held in Chicago on 22–25 July,
Maureen O'Hara discussed a new market paradigm: Trading has become faster, and market …

In this paper, we present the QuantCloud infrastructure, designed for performing big data
analytics in modern quantitative finance. Through analyzing market observations …

This paper investigates order-based manipulation and its effects on investor behavior and
market efficiency. Using a unique data set from the Chinese stock market, we show that (1) …

Using data on indicative quotes dealers provide to clients, we establish empirical
relationships regarding quote competition in the corporate bond market. Market-wide higher …