asymmetric information

Informed Liquidity Provision in a Limit Order Market

*Journal of Financial Markets* (forthcoming)

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

*Journal of Financial and Quantitative Analysis* (forthcoming).

Price Improvement and Execution Risk in Lit and Dark Markets

*Management Science*, 2020, 66(2), 863-886.

Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market

Joint with Katya Malinova (McMaster). 2013 WFA paper.