Do fast, competitive markets yield liquidity measurement problems when using the popular
Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of …

In this paper, we study the impact of noise traders' limited attention on financial markets.
Specifically, we exploit episodes of sensational news (exogenous to the market) that distract …

Computational drawbacks regarding the maximum likelihood estimation (MLE) of the widely
used PIN (probability of informed trading) measure (Easley et al., 1996) heavily distort the …

This paper investigates trading around Corporate Social Responsibility (CSR) rating
announcements. Focusing on CSR rating announcements made by Vigeo on European …

We implement a market microstructure model including informed, uninformed and heuristic-
driven investors, which latter behave in line with loss-aversion and mental accounting. We …

Contemporaneous and positive correlation between order flow and exchange rate is a
stylized fact. I postulate that the order flow driven by informed trading has a significant price …

Abstract “Fixing” in the foreign exchange market determines the mid-point exchange rate
that is applied to spot foreign exchange transactions between banks and bank customers …

This paper discusses and documents the multilayer structure of informed trading in financial
markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75 …

We examine whether the probability of informed trading ('PIN') is a determinant of stock
returns in Australia, an alternative market with considerably different information attributes to …

We empirically examine the order flows spillovers between Nasdaq and the Forex markets
in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate …