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My research focuses on securities trading and the structure of financial markets. I study trading by individual investors, algorithmic and high-frequency trading, information dissemination, market innovation, institutional trading, insider trading, and many other topics. My research aims to understand if the securities markets function optimally for the benefit of society.
My research program is currently funded by a grant from the Canada Research Chairs program. In the past, I have received funding from the Canada Foundation for Innovation, Canadian Derivatives Institute, Nasdaq Educational Foundation, Ontario Ministry of Research and Innovation, Ontario Research Fund, Ontario Securities Commission, and Social Sciences and Humanities Research Council of Canada, among others.
My research has received awards from the American Association of Individual Investors, Eastern Finance Association, Investment Industry Regulatory Organization of Canada, Journal of Finance, Nasdaq, New Zealand Superannuation Fund, SIX Swiss Exchange, Spanish Finance Association, and Toronto CFA Society.
My engagements outside the university include joint work with market regulators in Canada, the United Kingdom, and the United States and with many industry organizations and market participants.
View my complete CV.
- “Unfiltered market access and liquidity: Evidence from the SEC Rule 15c3-5,” with B. Chakrabarty, P. K. Jain and K. Sokolov, 2021, Management Science 67, 1183-1198.
- "Every cloud has a silver lining: Fast trading, microwave connectivity and trading costs," with K. Sokolov, 2020, Journal of Finance 75, 2899-2927.
- "High frequency trading and extreme price movements," with J. Brogaard, A. Carrion, T. Moyaert, R. Riordan and K. Sokolov, 2018, Journal of Financial Economics 128, 253-265.
- "Do brokers of insiders tip other clients?" with W. McNally and B. Smith, 2017, Management Science 63, 317-332.
- "To pay or to be paid? The impact of taker fees and order flow inducements on trading costs in the U.S. options markets," with R. Battalio and R. Van Ness, 2016, Journal of Financial and Quantitative Analysis 51, 1637-1662.
- “Non-standard errors,” with A. Menkveld et al., forthcoming, Journal of Finance.
- "Catering through nominal share prices revisited," with F. Perez, 2017, Critical Finance Review 6, 43-104.
- "Evaluating trade classification algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready algorithm," with B. Chakrabarty and R. Pascual, 2015, Journal of Financial Markets 25, 52-79.
- "Factor models for binary financial data," with F. Perez and K. Sokolov, 2015, Journal of Banking and Finance 61, S177-S188.
- “Information transfers and learning in financial markets: Evidence from short selling around insider sales,” with B. Chakrabarty, 2013, Journal of Banking and Finance 37, 1560-1572.
- “Short sales, long sales, and the Lee-Ready trade classification algorithm revisited,” with B. Chakrabarty and P. Moulton, 2012, Journal of Financial Markets 15, 467-491.
- “Short selling and intraday price pressures,” with B. Van Ness and R. Van Ness, 2012, Financial Management 41, 345-370.
- “Locked and crossed markets on NASDAQ and the NYSE,” with B. Van Ness and R. Van Ness, 2008, Journal of Financial Markets 11, 308-337.
- “Competition in the market for NASDAQ securities,” with M. Goldstein, B. Van Ness, and R. Van Ness, 2008, Journal of Financial Markets 11, 113-143.
- "The retail execution quality landscape," with A. Dyhrberg and I. Werner
- "Insider trading under the microscope," solo-authored.
- "The conduits of price discovery: A machine learning approach," with A. Kwan and R. Philip
- "Who benefits from securities exchange innovation?" with K. Sokolov and E. Yelagin
- "Cross-subsidization of liquidity," with S. Foley, A. Liu, K. Malinova and A. Park
- "Traces of Humanity: Liquidity and Human Behavior in the Machine Age," with M. Kamstra, L. Kramer, and R. DeGennaro
Contact Info:
Office location: LH4050
Office hours: By appointment.