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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 .
- with B. Chakrabarty, P. K. Jain and K. Sokolov, 2021, Management Science 67, 1183-1198.
- with K. Sokolov, 2020, Journal of Finance 75, 2899-2927.
- with J. Brogaard, A. Carrion, T. Moyaert, R. Riordan and K. Sokolov, 2018, Journal of Financial Economics 128, 253-265.
- with W. McNally and B. Smith, 2017, Management Science 63, 317-332.
- with R. Battalio and R. Van Ness, 2016, Journal of Financial and Quantitative Analysis 51, 1637-1662.
- with A. Menkveld et al., forthcoming, Journal of Finance.
- with F. Perez, 2017, Critical Finance Review 6, 43-104.
- with B. Chakrabarty and R. Pascual, 2015, Journal of Financial Markets 25, 52-79.
- with F. Perez and K. Sokolov, 2015, Journal of Banking and Finance 61, S177-S188.
- with B. Chakrabarty, 2013, Journal of Banking and Finance 37, 1560-1572.
- with B. Chakrabarty and P. Moulton, 2012, Journal of Financial Markets 15, 467-491.
- with B. Van Ness and R. Van Ness, 2012, Financial Management 41, 345-370.
- with B. Van Ness and R. Van Ness, 2008, Journal of Financial Markets 11, 308-337.
- with M. Goldstein, B. Van Ness, and R. Van Ness, 2008, Journal of Financial Markets 11, 113-143.
- with A. Dyhrberg and I. Werner
- "Insider trading under the microscope," solo-authored.
- with A. Kwan and R. Philip
- 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.