We model a simple market setting in which fragmentation of trade of the same asset across
multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting …

We examine the determinants and market consequences associated with earnings
announcements going viral on social media, a phenomenon we label “earnings virality.” …

Although algorithmic trading now dominates financial markets, some exchanges continue to
use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of …

We study fragmentation of equity trading using a model of imperfect competition among
exchanges. In the model, increased competition drives down trading fees. However …

Financial market liquidity is a popular research topic. Investor-driven research uses the
turnover rate to measure liquidity and generally finds that the higher the stock turnover rate …

We exploit an exogenous shock to dark trading volume to identify the effect of dark trading
on market quality. Following a 34% reduction in trading on dark venues, we find no evidence …

The European equity trading landscape of 2022 is a complex mix of exchanges, dark pools,
dealers, and auctions. The once dominant national stock exchanges are now part of global …

Algorithmic trading (AT) plays a major role in the trading activities of developed markets.
This research breaks new ground by investigating how AT influences herding behaviour in …

We provide a new theory of exchange access fees that explains why fees relatively reduce
the probability of execution and increase the limit order queue length on “maker-taker” …

We study trading of Bitcoin (BTC) against US dollar (USD) on exchanges on three
continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that …