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.