We study performance and competition among firms engaging in high-frequency trading
(HFT). We construct measures of latency and find that differences in relative latency account …

Much of the liquidity supply in modern markets comes from algorithmic traders (ATs).
Prompted by concerns of fragility induced by such voluntary market making, we examine …

Traders differ in speed and their speed differences matter. This paper models the
competition between fast traders (FTs) who react at varying speeds upon observing a …

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

I exploit information in the cross-section of bid-ask spreads to develop a new measure of
extreme event risk. Spreads embed tail risk information because liquidity providers require …

This paper studies the welfare consequence of increasing trading speed in financial
markets. We build and solve a dynamic trading model, in which traders receive private …

When unscheduled news arrives, investors react with a stochastic delay yet still may exploit
new information. In this context, I study the equilibrium dynamics of limit order markets …

We present a dynamic equilibrium model to understand differences and interactions
between informational and trading speed advantages. The model is a stochastic …

Recent regulatory and industry initiatives aim to streamline post-trade infrastructures. Does
faster settlement benefit markets? We build a model of intermediated trading with imperfectly …

Almost all limit orders are cancelled. We examine two economic channels that can motivate
cancellations: reductions in the expected profit at execution, and reductions in the probability …