We model the strategic interaction between fundamental investors and “back-runners,”
whose only information is about the past order flow of fundamental investors. Back-runners …

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in
42 equity markets around the world. We use an exchange colocation service that increases …

The effective bid-ask spread measured relative to the spread midpoint overstates the true
effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The …

On many important multi-dealer platforms, customers mostly request quotes from very few
dealers. I build a model of multi-dealer platforms, where dealers strategically choose to …

I study a hybrid over-the-counter (OTC) market structure in which traders have the choice of
obtaining an asset from dealers either in a bilateral market or on an electronic trading …

We model a two-tiered market structure in which an investor can trade an asset on a trading
platform with a set of dealers who in turn have access to an interdealer market. The …

By recovering data on individual revision “U”-messages on NASDAQ, this paper is the first to
reconstruct and then examine chains of order revisions. In recent years, revisions have …

This paper studies simultaneous multilateral search (SMS) in over-the-counter markets:
When searching, a customer simultaneously contacts several dealers and trades with the …

We study a continuous-time Kyle-Back model of insider trading with uncertainty about the
existence of the insider. The market maker absorbs net market order flows and form beliefs …

The thesis examines how different aspects of market quality are affected by imperfect
competition. The first chapter presents a model of strategic liquidity provision in a uniform …