Research
Working papers
- The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume, with Thomas Rivera and Fahad Saleh (August 17, 2022). https://ssrn.com/abstract=4192925
- FX Liquidity and Market Metrics: New Findings Based on CLS Bank Settlement Data, with Richard Levich, August 2019.
Online Appendix 1: Additional Tables and Figures; Online Appendix 2: Reconciliation and comparison of the CLS settlement data with other sources. - Gibbs estimates of trading costs (1926-2009) Also see Programs
- Older working papers
Selected publications
- Network structure and pricing in the FX market, with Richard Levich, Journal of Financial Economics, 2021, 141 (2), 705-729.
- Price Discovery in High Resolution, Journal of Financial Econometrics, 2019. Computational appendix, programs and data
- Rejoinder: Price Discovery in High Resolution, Journal of Financial Econometrics, 2019.
- High frequency quoting: short-term volatility in bids and offers, Journal of Financial and Quantitative Analysis, 53 (2), 613-641 (2018).
- Low-Latency Trading, with Gideon Saar, Journal of Financial Markets 16, 646-679 (2013) FAQ on construction of strategic runs.