High‐frequency trading (HFT) is an important component of stock market activity on major
exchanges. In the United States, HFT contributed approximately 52% of total equity trading …

In today's financial markets, trading floors on which brokers buy and sell shares face-to-face
have increasingly been replaced by lightning-fast electronic systems that use algorithms to …

Modern markets are characterized by speed differentials, with some traders being fractions
of a second faster than others. Theoretical models suggest that such differentials may have …

We use stock exchange message data to quantify the negative aspect of high-frequency
trading, known as “latency arbitrage.” The key difference between message data and widely …

We show that off-exchange (wholesaler) executions provide significant trading cost savings
to retail investors. Despite industry concentration, three findings suggest that wholesalers do …

We review past research and discuss future directions on how the vibrant research areas of
market design and behavioral economics have influenced and will continue to impact the …

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

We consider the problem of hosting financial exchanges in the cloud. Exchanges
necessitate strong fairness guarantees for competing participants, particularly for use cases …

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 …

Will stock exchanges innovate to address latency arbitrage and the arms race for speed?
This paper models how exchanges compete in the modern electronic era and how this …