Technologies have spawned finance innovations since the early days of computer
applications in businesses, most recently reaching the stage of disruptive innovations, such …

This study combined time-varying parameter vector autoregression (TVP-VAR) and a
spillover index model to analyze the static, total, and net spillover effects of energy and stock …

The merits and demerits of financial transaction taxes have been heavily debated among
economists, who remain divided on the effects of the taxes on trading volumes, market …

This study investigates the pattern of spillover and connectedness between a broad set of
financial assets (equities, commodities, bonds, and VIX) and its implications for portfolio …

We explore issues related to a financial transaction tax (FTT) in the United States. We trace
the history and current practice of the tax in the United States and other countries, review …

Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting
activities, we analyze the impact of high frequency quoting and trading on market quality …

We study the effect of trading costs on information aggregation and acquisition in financial
markets. For a given precision of investors' private information, an irrelevance result …

This paper characterizes the optimal transaction tax in an equilibrium model of financial
markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading …

We investigate the effects of a set of regulatory policies directed towards high-frequency
trading (HFT) through an agent-based model of a limit order book able to generate flash …

Abstract In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered
outside of the United States, introduced a new trading platform, Arrowhead. This platform …