A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

In this paper, we study how the intertemporal supply/demand of a security affects trading
strategy. We develop a general framework for a limit order book market to capture the …

We investigate the empirical relation between corporate governance and stock market
liquidity. We find that firms with better corporate governance have narrower spreads, higher …

We develop a dynamic model of a limit order market populated by strategic liquidity traders
of varying impatience. In equilibrium, patient traders tend to submit limit orders, whereas …

Using audit trail data for a sample of NYSE firms we show that medium-size trades are
associated with a disproportionately large cumulative stock price change relative to their …

This study examines the relation between the bid-ask spread from the daily CRSP data and
the bid-ask spread from the intraday TAQ data. We show that the CRSP-based spread is …

This paper examines the roles of the number of trades, size of trades, and order imbalance
(buyer-versus seller-initiated trades) in explaining the volatility–volume relation for a sample …

I examine the information content of a limit order book in a purely order-driven market. I
analyze how the state of the limit order book affects a trader's strategy. I develop an …

This paper investigates the relation between disclosure policy and market liquidity. Our tests
examine two key aspects of market liquidity, the effective bid‐ask spread and quoted depth …

This article analyzes the intraday interdependence of order flows and price movements for
actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded …