All my presentation slides are on slides.com/ap248.
Most of papers in their most recent form are always on SSRN (takes a while to load)
A more extensive list of where my papers can be found on scholar.google
Current Working Papers
“Learning from DeFi: Would Automated Market Makers Improve Equity Trading?” Joint with Katya Malinova. Current draft: February 2023. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4531670
“Phantom Liquidity in Decentralized Lending” Joint with Jona Stinner. Current Draft: June 2023. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4489732
Do retail traders suffer from high frequency traders?” Joint with Katya Malinova and Ryan Riordan. Current draft: April 2016. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2183806
“Cross-subsidizing liquidity” Joint with Anqi Liu, Sean Foley, Katya Malinova, and Andriy Shkilko. Current draft: August 2020. https://www.tmx.com/resource/en/799
“Did Trading Bots Resurrect the CAPM?” Joint with Jinhua Wang. Current draft: January 2020. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515635
“Sniping in Fragmented Markets” Joint with Katya Malinova. Current draft: June 2020. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3534367
Publications
“The Conceptual Flaws of Decentralized Automated Market Makers” May 2023. Forthcoming at Management Science https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3805750
“Tokenomics: When Tokens Beat Equity” Joint with Katya Malinova. January 2023. Forthcoming at Management Science https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3286825
“Engineering Economics of the Conflux Network” Joint with Yuxi Cai, Fan Long, and Andreas Veneris. Published in: 2020 IEEE 2nd Conference on Blockchain Research & Applications for Innovative Networks and Services (BRAINS). https://ieeexplore.ieee.org/document/9223310
“Regulating Dark Trading: Order Flow Segmentation and Market Quality” Joint with Carole Comerton-Forde and Katya Malinova. Journal of Financial Economics, November 2018, 130(2), pp. 347-366. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2755392
“Rushes in Large Timing Games” Joint with Axel Anderson and Lones Smith. Econometrica, May 2017, 85(3), pp. 871-913. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2273777
“Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality” Joint with Katya Malinova. Journal of Finance, April 2015, 70(2). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1823600
“The Impact of Competition and Information on Intraday Trading” Joint with Katya Malinova. Journal of Banking and Finance, 2014, 44, pp 55-71, July. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1088832
“Liquidity, Volume and Price Efficiency: The Impact of Order vs. Quote Driven Trading” Joint with Katya Malinova. Journal of Financial Markets, 16(1) February 2013 104-126. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1572564
“Herding and Contrarianism in Financial Markets with Endogenous Timing of Trades”. Joint with Daniel Sgroi. European Economic Review, 56 (6), August 2012, pp. 1020-1037. https://www.sciencedirect.com/science/article/abs/pii/S0014292112000621
“Herding and Contrarian Behaviour in Financial Markets” Joint with Hamid Sabourian. Econometrica, 2011, 79 (4), pp. 973-1026 (lead article). https://doi.org/10.3982/ECTA8602
“Trading Volume in Dealer Markets” with Katya Malinova. Journal of Financial and Quantitative Analysis, 2010, 45 (6), pp. 1447-1484. https://www.jstor.org/stable/27919573
“How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing” with Bjorn Bartling; Journal of Financial and Quantitative Analysis, 2010, 45, (2) , pp. 441-471. https://www.jstor.org/stable/27801491
“ Caller Number Five and related timing games” with Lones Smith; Theoretical Economics 3(2), June 2008, 231-256. https://econtheory.org/ojs/index.php/te/article/viewArticle/20080231
“Experiential Learning of the Efficient Market Hypothesis: Two Trading Games” Journal of Economic Education, 41 (4), 2010, pp. 353-369. https://www.jstor.org/stable/25766073
“What Determines the Level of IPO Gross Spreads? Underwriter Profits and the Cost of Going Public,” with Bjorn Bartling, International Review of Economics and Finance, 2009, 18(1), pp. 81-109. https://doi.org/10.1016/j.iref.2007.06.006
Older Working Papers
“Snowbirds in Securities Trading: Canadian Brokers U.S.-bound Order Routing” Joint with Katya Malinova. Current draft: January 2020. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3534365
“Market Design with Blockchain Technology” Joint with Katya Malinova. First draft: January 2016. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2785626
“Dark Trading on Public Exchanges” Joint with Sean Foley and Katya Malinova. Current draft: February 2013. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2182839
“Do Retail Traders Benefit from Improvements in Liquidity?” Joint with Katya Malinova and Ryan Riordan. Current draft: November 2013.
“Herding and Contrarian Behaviour in Financial Markets: An Experimental Analysis”. Joint with Daniel Sgroi. Current draft: 2019.
Other Work
“Non-Standard Errors” Crowdsourced; I am one of 250+ scholars in market microstructure, but not a lead author. Forthcoming at the Journal of Finance, 2023. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3961574
“Tokenized Stocks for Trading and Capital Raising” Current draft: January 2023; prepared for Plato Partnership (UK), joint work with Katya Malinova. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4365241
“A 2022 Primer on Crypto Trading” Current draft: June 2022; prepared for the Global Risk Institute. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4148717
“A 2023 Primer For DeFi Lending” Current draft: June 2023; prepared for the Global Risk Institute. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4568315
“Central Bank Digital Loonie: Canadian Cash for a New Global Economy” Joint with Andreas Veneris, Fan Long, and Poonam Puri. Current draft: February 2021. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3770024
“Decoding the Gen-Covid Investor” Joint with Danielle Goldfarb, Jason Cho and Tianshuo Yang. Current draft: Spring 2022. Prepared for Rotman FinHub and RIWI Research https://riwi.com/research/decoding-the-gen-covid-investor/
“Will Libra Succeed? Results of a Global Randomized Survey Experiment” Joint with Danielle Goldfarb. Current draft: October 2019. Prepared for Rotman FinHub and RIWI Research https://riwi.com/research/will-libra-succeed/