Research Interests:

Financial market microstructure, FinTech.


  • Regulating Dark Trading: Order Flow Segmentation and Market Quality, Journal of Financial Economics, November 2018, 130(2), pp. 347-366. Joint with Carole Comerton-Forde and Andreas Park.
    • Paper (June 2017 working paper version, on ssrn)
  • Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality, Journal of Finance, April 2015, 70 (2), 509-536. Joint with Andreas Park .
    • Paper ( October 2013 working paper version, on ssrn)
  • The Impact of Competition and Information on Intraday Trading, Journal of Banking and Finance, July 2014, 44, pp. 55-71 . Joint with Andreas Park.
    • This is a much improved and generalized version of our earlier work, circulated as Bid-Ask Spreads and Volume: The Role of Trade Timing.
  • Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Driven Trading, Journal of Financial Markets, February 2013, 16(1), 104-126. Joint with Andreas Park.
  • Trading Volume in Dealer Markets, Journal of Financial and Quantitative Analysis, December 2010, 45(6), 1447-1484. Joint with Andreas Park.

Working Papers:

  • Market Design with Blockchain Technology. (joint with Andreas Park )
    • Presented at: the 2nd Women in Market Microstructure Meeting, 2016 EFA, P2P Financial Systems 2016, 2016 NFA, Imperial Fintech Conference 2016, Dec. 2016 NBER Market Microstructure meeting, FDU 2017, PLATO-CEPR-Imperial Workshop (July 2017), 2018 NYU Stern FinTech Conference.
  • Maker-Taker Fees and Liquidity: The Role of Commission Structures (theory). Joint with Michael Brolley)
    • New version coming soon!
  • A Brownian Motion Foundation for Informational Diversity and Proximity, with Application to Rational Expectations Equilibrium. (theory). Joint with Lones Smith.
    • Paper available upon request (November 2006 version).

Work in Progress

Work In Progress