The continuous limit order book is a prominent design feature of modern securities markets.
Theoretical literature suggests that this feature has an undesirable side effect; it enables …

Exchanges implement intentional trade delays to limit the harmful impact of low-latency
trading. Do such “speed bumps” curb investment in fast trading technology? Data are scarce …

We investigate the consequences of different market designs and policies on market quality
in a high‐frequency market. Based on an extensible theoretical framework, high‐frequency …

A micro-burst fee on liquidity-taking orders that surges during high-frequency races reduces
costs associated with latency arbitrage. Moreover, micro-burst fees provide higher revenue …

This paper develops a non-linear rational expectation equilibrium to examine how market
liquidity is affected by the trading of" endogenous liquidity providers"(ELPs) who switch …

This dissertation presents three experimental studies with an emphasis on the influence of
information and innovation on digital markets including financial exchanges and online …

This thesis explores the impact of flash crashes on the dynamics of financial markets with
asymmetric information. We built, implemented, and analysed an agent-based model of an …

Abstract The Flow Market format, proposed by Kyle and Lee (2017), is intended to improve
on the Continuous Double Auction (CDA) format currently used in most financial markets …

Exchanges implement intentional trade delays to limit the harmful impact of low-latency
trading. Do such" speed bumps" curb investment in fast trading technology? Data is scarce …

We investigate the consequences of different market designs and policies on market quality
in high-frequency markets. An extensible theoretical framework is proposed to consider the …