When the trading of a security is fragmented across exchanges, MTFs, and dark pools, the prices at different markets co-move almost instantaneously. Almost. What happens in the time span specified as almost instantaneous? Once new information appears at one market, how does it spread to the other markets trading the same security? Information percolation describes how information spreads… Continue reading A network map of information percolation
Lyssna på Vetandets Värld om hur "börsrobotarna" påverkar dagens aktiehandel! http://sverigesradio.se/sida/avsnitt/549882?programid=412
Our paper "Trading fast and slow: Colocation and liquidity" has been accepted for publication in the Review of Financial Studies. The paper shows that an optional colocation upgrade is pursued primarily by liquidity suppliers. The colocation upgrade leads to improved liquidity, and we show that the improvement is due to the lower inventory costs incurred… Continue reading Colocation paper published in RFS
I am interviewed in this article, published in Swedish in Finansliv. For once an article that highlights both the pros and cons of fast trading.
Our article on the aggressiveness of high-frequency traders has been accepted for publication in a special issue on HFT in The Financial Review.
The aggressiveness of HFTs In this new working paper, which is joint with Lars Nordén and Dong Zhang, we study limit order submissions by various trader groups. In particular, we are interested in how the order decision is influenced by market conditions. Our evidence supports the notion that HFTs stabilize markets by supplying more liquidity… Continue reading Fast and furious?
Is high-frequency trading good or bad for financial markets? That was the question at this university talkshow that is now available online. View Crosstalks
Trading fast and slow: Colocation and market qualityThis is joint work with Jonathan Brogaard, Lars Nordén, and Ryan Riordan, using data from Nasdaq OMX Stockholm. We study the speed advantage enjoyed by traders who choose to pay for colocation, and find that it gives a measurable advantage in trading performance. We also find that an… Continue reading New working paper
I am a Professor of Finance at Stockholm Business School, Stockholm University, doing research on financial market microstructure, with applications to asset pricing, financial econometrics, and liquidity measurement.
Our first paper on commonality in illiquidity is now published as a working paper at the Federal Reserve Bank of St Louis. The paper can be downloaded here.