Research Interests

My most broad area of interest is financial economics, with a particular focus on problems of asymmetric information in financial markets. Currently, I am thinking about how high-frequency trading impacts the process of information acquisition and dissemination in equity markets. I am also interested in empirical market microstructure. In my previous lives as a PhD, Master's and Undergraduate student, I have spent time working on dark trading and maker-taker fees, asymmetric information issues in banking, and optimal resource extraction problems, respectively.

Publications

Quadratic Oil Extraction Oligopoly
(joint with John M. Hartwick), Resource and Energy Economics, 2008.


    Abstract

Each extractor has a distinct initial endowment of oil and a distinct quadratic extraction cost and faces a linear industry demand schedule. We observe in a discrete-time model with a finite number of periods that the open loop and closed loop solutions are the same if initial stocks are such that each competitor is extracting in every period in which her competitors are extracting.

Working Papers

Mandatory Price Improvement in Dark Pools
(revise and resubmit)

     Abstract

Dark pools—trading venues with non-displayed liquidity—fill orders at an improvement on the prevailing displayed quote, but execution is uncertain. I develop a model of informed trading to study how price improvement for dark orders impacts order flow segmentation across a visible limit order market and a dark pool. The impact of dark trading on market quality depends on the relative price improvement of dark orders over limit orders: a larger (smaller) price improvement for dark orders improves (worsens) market quality and welfare. Dark liquidity supply is zero for any price improvement to the midpoint or greater. Price efficiency worsens with any level of dark trading.


Informed Trading in a Low-Latency Limit Order Market
(joint with Katya Malinova)


     Abstract

We model a financial market where privately informed investors trade in a limit order book monitored by a competitive professional liquidity provider. Price competition between informed limit order submitters and the low-latency market maker allows us to capture the trade-off between informed limit and market orders in a methodologically simple way. We apply our model to study the impact of information arrival frequency on market quality and welfare. In the absence of trading frictions, we find that investor order placement strategies are invariant to information arrival frequency. If traders pay a per-leg transaction cost, order placement strategies are invariant to increased information arrival frequency only if transaction costs decline sufficiently fast. A faster decline in transaction costs improves market quality and investor welfare; a slower decline has the reverse effect.

Work in Progress

Maker-Taker Fees and Liquidity: The Role of Commission Structures
     (with K. Malinova)

Know when to hold ‘em, know when to fold ‘em: Lessons from Canada’s Venture Exchange
     (with D. Amaya and B. Smith)

Order Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays
     (with D. Cimon)