Microstructure of Financial Markets

NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Presentation: Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Clara Vega
Discussant: Cheng Gao

The Trading Profits of High Frequency Traders

Presentation: Matthew Baron, Jonathan Brogaard and Andrei Kirilenko
Discussant: Ryan Riordan

Hidden Liquidity: Some New Light on Dark Trading

Presentation: Gideon Saar
Discussant: Haoxiang Zhu

Dark Pool Exclusivity Matters

Presentation: Leslie Boni, David Brown and Chris Leach
Discussant: Nikil Chande

Keynote Presentation on Dark Liquidity and Fragmented Markets

Presentation: Doug Clark

The Homogenization of US Equity Trading

Presentation: Lawrence Harris

Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls

Presentation: Hendrik Bessembinder, Allen Carrion, Laura Tuttle and Kumar Venkataraman
Discussant: Ruslan Goyenko

Maker-Taker Fees and Informed Trading in a Low-Latency Limit-Order Market

Presentation: Michael Brolley and Katya Malinova
Discussant: Liyan Yang

Identifying Cross-Sided Liquidity Externalities: A Tale of the Two-sided Markets

Presentation: Johannes Skjeltorp, Elvira Sojli and Wing Wah Tham
Discussant: Michael Brolley

News Trading and Speed

Presentation: Thierry Foucault, Johan Hombert and Ioanid Rosu
Discussant: Mao Ye

High-Frequency Trading in the US Treasury Market – Evidence around Macroeconomic News Announcements

Presentation: George Jiang, Ingrid Lo and Giorgio Valente
Discussant: Sarah Zhang

Reducing Opaqueness in Over-the-Counter Markets

Presentation: Zhuo Zhong
Discussant: Joshua Slive

Bid-Ask Spreads and the Pricing of Securitizations: 144a vs. Registered Securitizations

Presentation: Burton Hollifield, Artem Neklyudov and Chester Spatt

Discussant: Allen Carrion

Keynote Presentation on HFT

Presentation: Charles Jones

FX Market Illiquidity and Funding-Liquidity Constraints

Presentation: Chiara Banti and Kate Phylaktis
Discussant: Hans Jorgen Tranvag

Market Order Flows, Limit Order Flows and Exchange Rate Dynamics

Presentation: Roman Kozhan, Michael Moore and Richard Payne
Discussant: Martin Evans

Content Type(s): Conferences