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Katya Malinova

University of Toronto

Department of Statistical Sciences

Toronto, Ontario M5S 3G8

Canada

http://individual.utoronto.ca/kmalinova/

  • University of Toronto

SCHOLARLY PAPERS

11

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CITATIONS
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12

Scholarly Papers (11)

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1.

Do Retail Investors Suffer from High Frequency Traders?

Number of pages: 52 Posted: 06 Dec 2012 Last Revised: 11 Jan 2018
Katya Malinova, Andreas Park and Ryan Riordan
University of Toronto, University of Toronto - Finance Area and Smith School of Business
Downloads 811 (13,398)
Citation 4

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high frequency trading, message tax, market quality, retail traders

2.

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

Downloads 635 ( 36,302)
Citation 5

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

Journal of Finance, Forthcoming
Number of pages: 44 Posted: 28 Apr 2011 Last Revised: 11 Jan 2018
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 283 (95,999)
Citation 5

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Liquidity credits, market quality, trading, make/take fees, maker-taker, rebates, bid-ask spread

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

Journal of Finance, Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 44 Posted: 21 Mar 2011 Last Revised: 10 Sep 2014
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 275 (99,413)
Citation 5

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Liquidity credits, market quality, trading, make/take fees, maker-taker, rebates, bid-ask spread

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

Journal of Finance, Forthcoming, Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 14 Oct 2011 Last Revised: 10 Sep 2014
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 77 (285,895)
Citation 5

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Liquidity credits, market quality, trading, make/take fees, maker-taker, rebates, bid-ask spread

3.

Liquidity, Volume and Price Efficiency: The impact of order vs. Quote Driven Trading

Downloads 359 ( 73,777)

Liquidity, Volume and Price Efficiency: The impact of order vs. Quote Driven Trading

Journal of Financial Markets, Forthcoming
Number of pages: 39 Posted: 17 Mar 2010 Last Revised: 29 Jul 2012
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 212 (129,169)

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market microstructure, trading volume, liquidity, dealer market, limit order book

Liquidity, Volume and Price Efficiency: The Impact of Order vs. Quote Driven Trading

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 19 Feb 2009 Last Revised: 30 Jul 2012
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 147 (180,021)

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order and quote driven trading, dealer market, execution costs

4.

Dark Trading on Public Exchanges

Number of pages: 45 Posted: 03 Dec 2012 Last Revised: 23 Feb 2013
Sean Foley, Katya Malinova and Andreas Park
University of Sydney Business School, University of Toronto and University of Toronto - Finance Area
Downloads 336 (53,128)
Citation 1

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dark trading, midpoint orders, limit order book trading

5.

Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market

Number of pages: 49 Posted: 20 Nov 2012 Last Revised: 06 Nov 2013
Michael Brolley and Katya Malinova
Wilfrid Laurier University and University of Toronto
Downloads 297 (62,010)
Citation 1

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Maker-Taker Fees, Informed Trading, Low-Latency Trading, Limit Order Book

6.

The Impact of Competition and Information on Intraday Trading

Number of pages: 39 Posted: 01 Feb 2008 Last Revised: 10 Jan 2014
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 284 (92,172)

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Trading, Market Participation, Intraday Patterns, Heterogeneous Information

7.

Why Allow Internalization?

Number of pages: 44 Posted: 30 Jul 2012
Katya Malinova
University of Toronto
Downloads 84 (242,011)

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internalization, transparency, limit order book, price discovery, liquidity

8.

Informed Trading in a Low-Latency Limit Order Market

Number of pages: 51 Posted: 03 Jan 2018
Michael Brolley and Katya Malinova
Wilfrid Laurier University and University of Toronto
Downloads 0 (382,466)

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Limit Order Book, Informed Trading, Transaction Costs, Low-Latency Trading

9.

Market Design with Blockchain Technology

Number of pages: 40 Posted: 30 May 2016 Last Revised: 27 Jul 2017
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 0 (9,179)
Citation 1

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market design, trading, blockhchain, distributed ledger, transparency

10.

Regulating Dark Trading: Order Flow Segmentation and Market Quality

FIRN Research Paper No. 2755392
Number of pages: 50 Posted: 31 Mar 2016 Last Revised: 10 Jun 2017
Carole Comerton-Forde, Katya Malinova and Andreas Park
UNSW Business School, University of Toronto and University of Toronto - Finance Area
Downloads 0 (71,258)

Abstract:

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dark trading, high frequency trading, retail investors, trade-at rule, price improvement, segmentation, internalization

11.

Trading Volume in Dealer Markets

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 06 May 2009
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area

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market microstructure, trading volume, liquidity