liquidity

Risk sharing in time priority markets
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Mar 31, 2022
Code
Risk sharing in time-priority markets
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Mar 30, 2022
Code
The Value of ETF Liquidity
Joint with Marta Khomyn and Tālis J. Putniņš. R&R at Journal of Finance (Round 2).
Last updated on Nov 24, 2021
Liquid speed: A micro-burst fee for low-latency exchanges
Joint with Michael Brolley. R&R at Journal of Financial Markets
Last updated on Apr 27, 2022
Speed and learning in high-frequency auctions
Journal of Financial Markets, 2021, 54 (June), 100583 (Lead Article).
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Need for Speed? Exchange Latency and Liquidity
The Review of Financial Studies, 2017, 30(4), 1188-1228.
Last updated on Oct 28, 2021
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