This article studies the impact of retail investors on stock liquidity during the COVID-19
pandemic lockdown in spring 2020. Retail trading exhibits a sharp increase, especially …

Blockchains represent a novel application of cryptography and information technology to
age-old problems of financial record-keeping, and they may lead to far-reaching changes in …

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we
study how measures of adverse selection respond to informed trading. We find that on days …

We study market-making high-frequency trader (HFT) dynamics around large institutional
trades in Canadian equities markets using order-level data with masked trader identification …

The last two decades have witnessed a massive capital inflow into commodity markets,
provoking the commodity financialization episode, which turned into a major stimulus for …

Using over 5,000 trades unequivocally based on nonpublic information about firm
fundamentals, we find that asymmetric information proxies display abnormal values on days …

We develop a model where some investors are uncertain whether others are trading on
informative signals or noise. Uncertainty about others leads to a nonlinear price that reacts …

We investigate how increased attention affects bitcoin's price discovery process. We first
decompose bitcoin price into efficient and noise components and then show that the noise …

We propose a decomposition of the realized covariance matrix into components based on
the signs of the underlying high‐frequency returns, and we derive the asymptotic properties …

We develop a return variance decomposition model to distinguish the roles of different types
of information and noise in stock price movements. We disentangle four components: noise …