We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency.
Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes …

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine
the activity of a common ELP type—high frequency traders (HFTs)—around extreme price …

The emergence of the COVID-19 pandemic, a new and novel risk factor, leads to the stock
price crash due to the investors' rapid and synchronous sell-off. However, within a short …

This paper proposes a theoretical model of the competition among high-frequency traders
and its impact on market liquidity. First, the optimal strategies of high-frequency market …

We propose a new methodology to describe and detect price reversals. We highlight the
benefits of our method compared to classic measures of transient market inefficiency, such …

Perfect competition in liquidity provision in limit order markets is characterized by a tail
expectation condition (Glosten 1994). In this paper, we model imperfect competition in …

Any views expressed are solely those of the authors and so cannot be taken to represent
those of the Bank of England or to state Bank of England policy. This presentation should …

Purpose The purpose of this paper is to provide the current state of knowledge about the
Flash Crash. It has been one of the remarkable events of the decade and its causes are still …

We define mini flash crashes as significant deviation from a normal price process, and
formulate a robust and simple state-space model for efficient detection of mini flash crashes …

This study analyses the impact of market fragmentation on resiliency, defined as the speed
of recovery of the market, in normal conditions and in times of stress. I find that fragmentation …