Research
Research Interests:
Financial market microstructure, FinTech.
Publications:
Tokenomics: when tokens beat equity Management Science, forthcoming. Joint with Andreas Park
A brief summary on Medium is here: https://lnkd.in/eBzZ-yh
Informed Liquidity Provision in a Limit Order Market (theory), Journal of Financial Markets, January 2021, 52. Joint with Michael Brolley
Paper (April 2020 working paper version, on ssrn).
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:
Learning from DeFi: Would Automated Market Makers Improve Equity Trading? (empirical). Joint with Andreas Park.
Cross-subsidizing liquidity (empirical). Joint with Sean Foley, Anqi Liu, Andreas Park, Andriy Shkilko.
"Sniping" in Fragmented Markets? (empirical). Joint with Andreas Park.
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.
Do Retail Investors Suffer from High Frequency Traders? (empirical). Joint with Andreas Park and Ryan Riordan.
Also circulated as "Taxing High Frequency Market Making: Who Pays the Bill?".
"Maker-Taker Fees and Liquidity: The Role of Commission Structures" Joint with Michael Brolley
New version is coming soon!
The above paper with Michael Brolley together with "Informed Liquidity Provision in a Limit Order Market" supercede "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".)
Dark Trading on Public Exchanges (empirical). Joint with Sean Foley and Andreas Park.
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).