I review the recent high-frequency trader (HFT) literature to single out the economic
channels by which HFTs affect market quality. I first group the various theoretical studies …

Big data is revolutionizing the finance industry and has the potential to significantly shape
future research in finance. This special issue contains papers following the 2019 NBER-RFS …

The high-frequency trading arms race is a symptom of flawed market design. Instead of the
continuous limit order book market design that is currently predominant, we argue that …

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have increasingly been replaced by lightning-fast electronic systems that use algorithms to …

High-frequency trading (HFT) has grown substantially in recent years due to fast-paced
technological developments and their rapid uptake, particularly in equity markets. This …

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 …

We analyze trading speed and fragmentation in asset markets. In our model, trading venues
make technological investments and compete for investors who choose where and how …

A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a
high-frequency market maker (HFM) to update quotes faster on incoming news. This …

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 identify retail brokers that seemingly route orders to maximize order flow payments, by
selling market orders and sending limit orders to venues paying large liquidity rebates …