Michael Brolley

My general research interests are in theoretical financial economics, with a focus on market microstructure. Recent projects focus on studies of financial market innovations, specifically maker-taker fees, dark trading, and high-frequency trading. My current projects study the impact of cyber risk on financial infrastructure, as well as investor segmentation in equity and fixed income markets. These projects include:

• Cyber Risk and Security Investment (with T. Ahnert, D. Cimon and R. Riordan).
• Liquidity Provision under Flat Commissions in a Maker-Taker World (with K. Malinova) 
• Retail Margin Trading (with D. Cimon)  

• 'Special Mention' for the 2021 FESE De La Vega Prize (with Marius Zoican), "Liquid Speed: A Micro-Burst Fee for Low-Latency Exchanges".
• SSHRC Insight Development Grant (with David A. Cimon), "Does it Pay to be Secure? Cyber Risk and the Competition for Clients in Financial Markets" ($37,652).
• SSHRC Connection Grant (with Andriy Shkliko), Bank of Canada - WLU Market Structure Workshop.
• SSHRC Insight Development Grant, "Financial Information Acquisition and Dissemination in a High Frequency World" ($53,242).
• 2014 NASDAQ OMX & CQA EFA Doctoral Tutorial Best Paper Prizes for "Price Improvement and Execution Risk in Lit and Dark Markets". 

I am available to supervise graduate students who are interested in working on topics in the area of financial economic theory and its applications; I am also available to advise students on empirical finance projects. In past years, I have supervised graduate students in the MABE program for EC681, and advised PhD students in Finance.

When funding allows, I occasionally take on 4th year undergraduate and Master's students in Business (finance specialization), Economics, or Mathematics to assist with research projects. As my work is primarily theoretical, research assistant candidates ideally will have completed BU393 and EC260, and will have a working knowledge of multivariate calculus. Some light mathematical programming (Maple, Mathematica, Matlab, etc.) is a plus. 

• Brolley, M., and M. Zoican, Liquid Speed: a Micro-Burst Fee for Low-Latency Exchanges, Journal of Financial Markets, 2023, 64 (June), 100785. 
• Brolley, M., and M. Zoican, On-Demand Fast Trading on Decentralized Exchanges, Finance Research Letters, 2023, 51 (January), 103350.

• Brolley, M., and K. Malinova, Informed Liquidity Provision in a Limit Order Market, 

  Journal of Financial Markets, 2021, 52 (January), 100566 [Lead Article].
• Brolley, M., and D. Cimon, Order Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays, Journal of Financial and Quantitative Analysis, 2020, 55(8), 2555-2587.
• Brolley, M., Price Improvement and Execution Risk in Lit and Dark Markets, Management Science, 2020, 66(2), 863-886.

BU473 - Investment Management - 2021-Present
MF763 - Economics for Financial Anaylsis (formerly Economics & Quantitative Methods II) - 2022-present
BU823 - Seminar in Financial Economics - 2019-present
BU673 - Investment Management - 2023
BU393 - Financial Management II - 2015-2021