Opinion AND POLICY
The evolution of market structure and trading desks in Asia-Pacific, with Stuart Baden Powell. This article, published in Global Trading, is a discussion about how APAC market structure and trading desks are evolving and the lessons we can learn from the academic literature that might be useful for buy- and sell-side trading desks.
Are speed bumps beneficial?, with Fatemeh Aramian. This paper, commissioned by the Plato Partnership reviews the academic literature on speed bumps. This evidence shows that implementing a speed bump benefits the exchange instituting it - enhancing competition at the top of its order book and reducing its quoted and effective spreads. However, the impact of speed bumps on overall market quality is less clear and remains a subject of debate.
Closing mechanisms in European Equities, with Fatemeh Aramian. This paper, commissioned by the Plato Partnership, examines closing mechanisms available in European equity markets. It shows that closing mechanisms account for 18% of consolidated euro trading volume in STOXX 600 stocks over the period January 2021 to September 2022. Alternative trading mechanisms that have emerged to compete with the primary market auctions only capture around 16% of this activity. The paper also explores the determinants of the exchange and alternative closing mechanism volumes.
Retail Trading in European Equity Markets, with Fatemeh Aramian. This paper, commissioned by the Plato Partnership, examines retail-specific trading mechanisms available in European equity markets. It documents the features of these trading mechanisms and the level of activity over the period January 2019 to July 2022. It also draws on the existing academic literature to gain insights into the mechanisms that will likely lead to the best outcomes for retail investors.
Would Reg NMS be beneficial for Europe? Ensuring the resilience of European equities trading. This paper, commissioned by the Plato Partnership, considers whether the US Regulation National Market System (Reg NMS) would improve European market quality. The paper takes a deep dive into the academic literature on the impact of Reg NMS and also synthesises the perspectives of institutional traders in the US and Europe. The paper concludes that Reg NMS is not desirable for Europe, but that a consolidated tape and better disclosures could enhance best execution outcomes. The paper was covered in The Trade.
How do you solve a problem like a market outage: Ensuring the resilience of European equities trading, with Zhuo Zhong. This paper, commissioned by the Plato Partnership, empirically examines the impact of a primary market outage on market quality, summarises the problems experienced by buy- and sell-side firms during an outage and makes recommendations on how to reduce the adverse impacts of any primary market outages in the future.
Free stock market trading with Robinhood: How is that possible? In this short paper, I explore why Robinhood is able to offer free stock market trading. The short answer is that their customers are their product - and they earn substantial revenue by selling their customers' order flow to market makers. The US payment for order flow model is not allowed in Australia - which is why you don't see zero commission trading in Australia. When you do, you should ask why? Featured in the Australian Financial Review by Wealth Editor Aleks Vickovich.
An analysis of S&P/ASX 300 and NZX 50 share ownership, A short paper, prepared for the Australasian Investor Relations Association, examining changes in share ownership from 2017 to 2020 using data reported in company annual reports and substantial shareholder notices.
Retail traders take a punt, with Zhuo Zhong. A short paper examining retail investor trading activity on the ASX during the COVID-19 lockdown. Retail investors were net buyers of stock during this period, especially in high beta stocks, high leverage stocks, and stocks that had experienced large price declines. In contrast, institutional investors were net sellers sellers during the lockdown. Featured in the Australian Financial Review by Wealth Editor Aleks Vickovich. And covered by The Conversation.
Algo trading comes of age, An ASX Thought Leadership Discussion with Richard Atkins, ASX and Steve Hammerton, UBS, published in Listed@ASX (Summer 2019/2020).
Post MiFID II, dark trading should return to basics, with Haoxiang Zhu Oxford Business Law Blog, January 2018.
Using Survey and Banking Data to Measure Financial Wellbeing, Commonwealth Bank of Australia and Melbourne Institute Financial Wellbeing Scales Technical Report No. 1, March 2018. This report is the first output of a collaboration between the University of Melbourne and the CBA to develop a measure of Financial Wellbeing which could be used to help improve the financial wellbeing of bank customers. [Full report] [Executive Summary]
Shedding light on dark trading in Europe, written for the Plato Partnership in June 2017. This paper examines how firms need to adjust to new restrictions on dark trading and the closure of Broker Crossing Networks that will come about during MiFID II’s implementation in January 2018. Covered in The Trade.
Review of recent rule changes affecting dark liquidity, and independent study commissioned by ASIC to assist in determining the impact of recent changes to dark trading rules on the use of dark liquidity and market quality, May 2014.
Mastering the markets: high frequency trading and dark pools, a condensed version of my Inaugural Public Lecture at the University of Melbourne in April 2013 published in Insights Melbourne Business and Economics, Volume 14, 5-11.
Debunking myths about high-frequency trading, opinion piece published in the Sydney Morning Herald on October 1, 2012.
Is Australia HFT-friendly?, published in the JASSA The Finsia Journal of Applied Finance Issue 3 2012.
Explainer: What is short selling?, written for The Conversation, 25 October 2012.
Chi-X Launch - What does it mean for the Australian market? written for the Conversation, 31 October 2011.
Transparency, dark pools and the Australian market, written for the Conversation, 24 March 2011.