liquidity

Do high-frequency market makers share risks?
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Jul 15, 2022
Code
Do high-frequency market makers share risks?
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Jul 15, 2022
Code
The Value of ETF Liquidity
Joint with Marta Khomyn and Tālis J. Putniņš.
Last updated on Jul 17, 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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