Publications in Financial Times Top 50 Journals
How fast should trades settle?, 2020, with Mariana Khapko
Management Science, 66 (10), 4573–4593 [slides] [The Conversation (French) coverage]
Management Science, 66 (10), 4573–4593 [slides] [The Conversation (French) coverage]
Does faster settlement benefit markets? Real-time settlement, coupled with a flexible option-like penalty for failures-to-deliver, disciplines competition on securities lending markets, reduces borrowing costs, and therefore improves market quality.
Need for Speed? Exchange Latency and Liquidity, 2017, with Albert J. Menkveld
Review of Financial Studies, 30 (4), 1188-1228 [slides] [Bloomberg, VoxEU coverage]
Review of Financial Studies, 30 (4), 1188-1228 [slides] [Bloomberg, VoxEU coverage]
Speeding up the exchange does not necessarily improve liquidity. Since HFTs employ both market-making and arbitrage strategies, the net effect of a faster market depends on a security’s news-to-liquidity-trader ratio.
Other publications
Do speed bumps curb speed investment? Evidence from a laboratory market, 2020, with Mariana Khapko
Journal of Financial Markets, Forthcoming [Experimental data]
Journal of Financial Markets, Forthcoming [Experimental data]
In a market design experiment conducted at the University of Toronto, we find that introducing a speed bump reduces arbitrageurs' investment in speed, but only if the speed bump is asymmetric across liquidity takers and providers.
Speed and Learning in High-Frequency Auctions, 2021, with Marlene Haas and Mariana Khapko
Journal of Financial Markets, 54: 100583 [Josseph de la Vega Award 2016] [The Conversation (French) coverage]
Journal of Financial Markets, 54: 100583 [Josseph de la Vega Award 2016] [The Conversation (French) coverage]
On high-frequency batch auctions markets, the HFT ``arms' race'' in speed stimulates price competition between arbitrageurs and improves liquidity.
Too-International-to-Fail? Supranational Bank Resolution and Market Discipline, 2016, with Lucy Gornicka
Journal of Banking and Finance 65 (2016), 41--58 [slides] [VoxEU coverage]
Journal of Banking and Finance 65 (2016), 41--58 [slides] [VoxEU coverage]
Supranational regulators are more inclined to bail-out banks indebted towards international creditors because they take into account cross-border contagion. When banks' creditors are more likely to be bailed out, market discipline decreases.
Working papers
The Value of ETF Liquidity, 2020, with Marta Khomyn and Tālis J. Putniņš
Revise and Resubmit at Journal of Finance
[Medium post] [Microstructure Exchange seminar]
Revise and Resubmit at Journal of Finance
[Medium post] [Microstructure Exchange seminar]
ETF liquidity plays a key role in determining fees. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon investors. The higher turnover of these investors endogenously sustains the ETF's high liquidity.
How does retail trading impact information supply in financial markets? Analysts cluster in retail-heavy stocks, as investors can trade more aggressively without incurring price impact -- the effect is weaker in 2020, as retail trading surges.
Liquid Speed: A Micro-Burst Fee for Low-Latency Exchanges, 2020, with Michael Brolley
[Medium post] [Machine Lawyering coverage]
[Medium post] [Machine Lawyering coverage]
We propose a dynamic pricing "order congestion fee" on securities' exchanges to reduce negative externalities associated with high-frequency trading and to reduce the impact of micro-bursts on exchange infrastructure.
Security lending revenue generates a hedging benefit that funds do not internalize. In equilibrium, funds holding riskier underlying portfolios are more transparent, pay higher dividends, and charge higher fees than funds with safer investments.
Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets, 2015, with Albert Menkveld and Emiliano Pagnotta
Revise and Resubmit at Journal of Financial Economics
Revise and Resubmit at Journal of Financial Economics
We provide evidence of the effects of introducing a central clearing counterparty (CCP) on price stability using a 2009 clearing reform in three Nordic equity markets. We find that volatility drops by 8.8% relative to pre-reform levels.
Work in progress
Information supply under the microscope: Do analysts write innovative and diverse reports?, with Charles Martineau
Does gamification increase retail risk appetite?, with Phillipp Chapkovski and Mariana Khapko
ETF fee competition and security lending, with Tamara Nefedova and Gianpaolo Parise
Inventory and market depth on exchanges with time-priority, with Corey Garriott and Vincent van Kervel
Does gamification increase retail risk appetite?, with Phillipp Chapkovski and Mariana Khapko
ETF fee competition and security lending, with Tamara Nefedova and Gianpaolo Parise
Inventory and market depth on exchanges with time-priority, with Corey Garriott and Vincent van Kervel