limit order market

Maker-Taker Fees and Liquidity: The Role of Commission Structures

Joint with Katya Malinova (McMaster).

Price Improvement and Execution Risk in Lit and Dark Markets

*Management Science* (forthcoming)

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

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

Informed Trading in a Low-Latency Limit Order Market

Joint with Katya Malinova (McMaster). Revise and Resubmit at *Journal of Financial Markets*.

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

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