This article studies explanatory factors for short-term stock price movement in the US equity
market by exploiting the relationship among liquidity supply, liquidity demand, and market …

We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework
for the primary purpose of comparing broker algorithms using standardized benchmarks …

Exchange-traded funds (ETFs) have been, since their inception, a revolutionary change for
investors and those in the investing business. There are a few key characteristics of ETFs …