asymmetric information

Liquid Speed: A Micro-Burst Fee for Low-Latency Exchanges

*Journal of Financial Markets*, 2023, 64(June) 100785.

Informed Liquidity Provision in a Limit Order Market

*Journal of Financial Markets*, 2021, 52(January), 100566 (Lead Article).

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

*Journal of Financial and Quantitative Analysis*, 2020, 55(8), 2555-2587.

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.