|
1.
|
Purpose: This paper aims to present four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile.
Design/me[...]
2020 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
2.
|
We model how securities dealers respond to regulations on leverage, position, and liquidity such as those imposed by the Basel III framework. The dealers respond by endog[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
3.
|
Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by stu[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
4.
|
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and t[...]
2014 | Text | Staff Working Paper - Document de travail du personnel |
|
|
5.
|
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we [...]
2020 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
6.
|
We document the outcome of an options decimalization pilot on Canada's derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impac[...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
|
7.
|
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a new trading facility that enables participating organizations to quote dark lim[...]
2018 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
|
