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