This paper disseminates the survivor function of inter-trade durations as a key feature of the intraday trading process. It sheds light on the time varying trading intensity and, thus, liquidity of a traded asset and the information channels which propagate price signals among asymmetrically informed market participants. To obtain a consistent estimate of the baseline survivor function and capt...

We study trading behavior and its profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders. The average informed lose most with market orders and their losses are highest when they pick up insiders’ limit orders. Uninformed traders act as liquidity providers. They plac...

Informed investors are a source of illiquidity, but those pursuing di¤erently informed strategies also generate quasi -noise trading. Quasi-noise trading creates non-monotonic externalities in information choice that shape the composition of active investment and that in‡uence investor herding, liquidity spirals, asset comovement, along with the information content of prices. These externalitie...

Understanding the microstructure of the financial market requires the processing of a vast amount of data related to individual trades, and sometimes even multiple levels of quotes. Analyzing such a large volume of data requires tremendous computing power that is not easily available to financial academics and regulators. Fortunately, public funded High Performance Computing (HPC) power is wide...