Market Fragmentation: How One Stock Trades Across Venues

Pull up two market data feeds on the same stock at the same second and you'll often see them disagree. One shows 1,200 shares offered at 48.75. The other shows…

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Cross-Impact in Trading: How One Order Moves Another

An index future ticks higher on a burst of buying. A beat later, the best offer on one of its larger constituents lifts by a couple of cents, and the…

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Price Discovery: How Markets Turn Orders Into Prices

A company reports earnings after the close, the print lands a little ahead of estimates, and by the time the stock reopens it's trading four percent higher. Stare at that…

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