liquidity

The Value of ETF Liquidity
Joint with Marta Khomyn and Tālis J. Putniņš. Revise & Resubmit at Review of Financial Studies
Last updated on Nov 23, 2022
Liquidity fragmentation on decentralized exchanges
Joint with Alfred Lehar and Christine Parlour.
Last updated on Nov 14, 2022
Liquidity fragmentation on decentralized exchanges
Joint with Alfred Lehar and Christine Parlour.
Last updated on Nov 14, 2022
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
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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