I review the recent high-frequency trader (HFT) literature to single out the economic
channels by which HFTs affect market quality. I first group the various theoretical studies …

I demonstrate an important tension between acquiring information and incorporating it into
asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically …

We examine the relation between high frequency quotation and the behavior of stock prices
between 2009 and 2011 for the full cross section of securities in the US. On average, higher …

This study examines how an increase in tick size affects algorithmic trading (AT),
fundamental information acquisition (FIA), and the price discovery process around earnings …

We show that queue rationing under price controls is one driver of high-frequency trading.
Uniform tick sizes constrain price competition and create rents for liquidity provision …

Abstract The Asia-Pacific securities markets are among the fastest growing markets in the
world and account for more than one third of the global market capitalization. Drawing from …

We examine product differentiation in the high-frequency trading (HFT) industry, where the
“products” are secretive proprietary trading strategies. We demonstrate how principal …

We study Just-in-time (JIT) liquidity provision in blockchain-based decentralized exchanges.
A JIT liquidity provider (LP) monitors pending swap orders in public mempools of …

We model competition for liquidity provision between high-frequency traders (HFTs) and
slower execution algorithms (EAs) designed to minimize investors' transaction costs. Under …

Regulators continue to debate whether high‐frequency trading (HFT) is beneficial to market
quality. Using Strongly Typed Genetic Programming (STGP) trading algorithm, we develop …