This paper studies how High-Frequency Traders (HFTs) and Market Makers behaved during the Flash Crash of May 6, 2010. It shows that HFTs didn’t cause the crash—but also didn’t help stabilize it. They traded fast and in the same direction as prices, while traditional market makers pulled back.
This paper reveals that high-frequency trading (HFT) is not one big strategy—but three distinct types. It shows that when HFTs compete in market-making, volatility actually goes down, and smaller exchanges become more viable.
This paper shows that in high-frequency trading (HFT), milliseconds matter. The fastest firms earn the majority of profits, not because they make better trades—but because they make more of them, faster. Speed wins.
High-frequency traders (HFTs) often compete with large institutional trades, raising execution costs for informed orders. This paper shows that when HFT speed is restricted, price impact drops—especially for skilled institutional traders.
This paper shows that high-frequency traders use their speed to crowd out slower traders from the most profitable limit order executions. They exploit fleeting imbalances in the order book and withdraw when risk increases—leaving slower traders with poor fills.
Macroeconomic uncertainty isn’t just noise—it reshapes bond risk premia and pricing.
This paper shows that the part of the variance risk premium tied to downside tail risk—jumps in asset prices—is what really predicts market returns. It's a cleaner measure of investor fear than the VIX.
It’s not volatility, but the anticipation of risk that drives returns. This paper shows how timing macro events reveals the hidden premium of uncertainty.
Bitcoin’s extreme volatility comes with an upside: low correlation with other assets. This paper shows that even a small allocation to Bitcoin can significantly boost the Sharpe ratio of a diversified portfolio.
Option volume can be an early signal for takeover events
This paper shows that Initial Coin Offerings (ICOs) can help startups grow by giving them access to funding and liquidity. Projects that make good disclosures, use tokens with real utility, and get listed on exchanges are more likely to survive and hire more employees later.
This paper shows that cryptocurrency prices can be much higher in some countries than others. These price gaps happen because of restrictions on moving money between countries, not because of problems with the cryptocurrencies themselves.