As part of a research project with London Stock Exchange (LSE), you are assigned a project to analyse the impact of High-Frequency Trading on Liquidity at LSE. Available data includes (but is not limited to): limit order book data, bid and ask prices, order message data, and number of transactions of high-frequency traders and non-high- frequency traders.

• Formulate a research question and research hypothesis for the analysis.

• Propose a regression model to test your hypothesis.

• How would you choose your data sample and the type of data for your analysis?

• Formulate expectations towards your regression results regarding the size and

  magnitude of your slope coefficient.