Our findings on FX aggregators indicate that most of the traders could—at least in theory—reduce the average spread by more than half with the optimal combination of streams, and a trader could save significantly, even up to 0.18 basis points in USD per EUR traded

Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity beyond the best levels around scheduled and non-scheduled company announcements. At aggregated level, liquidity beyond the best levels behaves quite differently from the bid-ask spread around scheduled announcements. Moreover, scheduled announcements improve multi-level liquidity to an exceptionally good level. We also provide evidence for pre-reactions in order books before non-scheduled announcements, which suggest the possibility of information leakage.

Recent studies combining social media data with data from capital markets have mainly focused on the relationship between returns and activity on social media. In contrast, we study how behavior of different investor categories are associated to Facebook posts and other activity on a company’s Facebook wall. We provide evidence that the decisions of less sophisticated investors—namely, households and nonprofit organizations—to increase or decrease their shareholdings are associated with Facebook data, while the decisions of more sophisticated investors—financial and insurance institutions—are not associated with Facebook data.