Financial market microstructure, FinTech.
- 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.
- 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.
- The two papers above, with Michael Brolley, grew out of "Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market." The 2013 WFA version of this older paper is available on ssrn (here).
- Do retail traders benefit from improvements in liquidity? (empirical) Joint with Andreas Park and Ryan Riordan.
- (This paper is an improved version of "Shifting Sands: High Frequency, Retail, and Institutional Trading Profits over Time".)
- 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