Research

Publications 

“Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues” (with Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, and Mark S. Seasholes), Journal of Finance, forthcoming 2010.  Download

“Inventory Models and Inventory Effects,” Encyclopedia of Quantitative Finance, Rama Cont editor, John Wiley & Sons Limited, forthcoming 2010. Download

“A Tale of Two Time Zones: Cross-Listed Stock Liquidity and the Availability of Substitutes” (with Li Wei), Journal of Financial Markets, 2009, 12(4): 570-591. Download

“Liquidity: Considerations of a Portfolio Manager” (with Laurie Simon Hodrick), Financial Management, 2009, 38(1): 59-74. Download

“You Can’t Always Get What You Want: Trade-Size Clustering and Quantity Choice in Liquidity”,  Journal of Financial Economics, 2005, 78(1), 89-119. Download

 “Relative Repo Specialness in U.S. Treasuries”, Journal of Fixed Income, 2004, 14(1), 40-47. Download

Working Papers

“Speed and Stock Market Quality: The NYSE's Hybrid” (with Terrence Hendershott). Download

"The Role of Market Design in Alleviating Attention Constraints," previously titled "Earning More Attention: The Impact of Market Design on Attention Constraints" (with Bidisha Chakrabarty). Download

“Multimarket Trading and Integration” (with Michael Halling and Marios Panayides). Download

“Who Trades with Whom?” Download