Anna Pomeranets

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Staff Working Papers

High-Frequency Trading Competition

Staff Working Paper 2014-19 Jonathan Brogaard, Corey Garriott, Anna Pomeranets
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.

Security Transaction Taxes and Market Quality

Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.