Research highlight
High-frequency trading in the stock market and the costs of options market making
Journal of Financial Economics, 159, 103900
The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks
Journal of Financial Markets, 66, 100853
Volatility and dark trading: Evidence from the Covid-19 pandemic
The British Accounting Review, 55 (4),101171
Algorithmic Trading and Investment-To-Price Sensitivity
Does the increased prevalence of algorithmic trading (AT) produce real economic effects? We find that AT contributes to managerial learning by...
DP 861
High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
DP 847
Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
We exploit the exogenous shock of the COVID-19 pandemic on financial markets and regulatory restrictions on dark trading to investigate how volatility...
DP 796
