We assess the consequences for market quality and welfare of different entry regimes and
exchange pricing policies. To do so, we integrate a microstructure model with a free-entry …

We investigate stale reference pricing and liquidity provision in dark pools using proprietary,
participant-level regulatory data. We show a substantial amount of stale trading occurs …

Central to the ability of a high frequency trader to make money is speed. In order to be first to
trading opportunities, firms invest in the fastest hardware and the shortest connections …

We allow a strategic trader to choose when to acquire information about an asset's payoff,
instead of endowing her with it. When the trader dynamically controls the precision of a flow …

The make-take preferences of investors depend on high-frequency trading (HFT)
competition, under which HFT firms endogenously acquire speed and informational …

The creative destruction wrought by high-frequency algorithmic trading has raised
increasing concerns about the effect of machine learning behaviors and ultra high-frequency …

This paper investigates the strategic interaction of information acquisition, information-based
dynamic trading, and noise trading patterns, as well as its significant implications on market …

We study how dynamic research affects information acquisition in financial markets. In our
strategic trading model, the trader performs costly research to generate private information …

This paper studies the backfire effect of a speed bump, which is a delay imposed on trade
execution to slow down HFTs. In my model, the equilibrium bid-ask spread works as an …

A simple approach to estimating price impact and its components is provided that extends
easily to multiple classifications of trades. Temporary and permanent components for all …