limit order market

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

Joint with Katya Malinova (McMaster).

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.

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

Joint with Marius Zoican (Rotman).

On-Demand Market-Access, Fast Trading and the Role of Decentralized Exchanges

Joint with Marius Zoican (Rotman).

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

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