Closing auctions set daily closing prices for US stocks and account for a striking 7.5% of
daily volume in 2018, up from 3.1% in 2010. We study closing auctions in the new regime of …

This paper describes price discovery and liquidity provision in a dynamic limit order market
with asymmetric information and non-Markovian learning. Investors condition on information …

We examine the effects of stock market access, and in particular trading hours, on retail
investment performance. Using discontinuities around time zone borders, we find that …

We study informativeness of agent and principal trades. Order informativeness depends on
the horizon and frequency we analyze. In line with the literature on high-frequency trading …

Limit orders submitted at about the same time are subject to random latencies and will be
queued accordingly. In equilibrium, the end-of-queue limit orders always lose money—the …

Employing stocks traded on the London Stock Exchange (LSE), this thesis studies market
microstructure in the high-frequency trading period. Chapter 2 studies the system upgrading …