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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

10

DOWNLOADS
Rank 8,859

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Top 8,859

in Total Papers Downloads

4,236

CITATIONS
Rank 36,254

SSRN RANKINGS

Top 36,254

in Total Papers Citations

5

Scholarly Papers (10)

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1.

Taxing High Frequency Market Making: Who Pays the Bill?

Number of pages: 48 Posted: 06 Dec 2012 Last Revised: 24 Jun 2016
Katya Malinova, Andreas Park and Ryan Riordan
University of Toronto, University of Toronto - Finance Area and Queen's School of Business
Downloads 811 (13,806)

Abstract:

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

2.

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

Downloads 593 ( 35,957)
Citation 4

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: 10 Sep 2014
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 276 (89,990)
Citation 4

Abstract:

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 244 (102,638)
Citation 4

Abstract:

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 73 (272,406)
Citation 4

Abstract:

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

3.

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, University of Toronto and University of Toronto - Finance Area
Downloads 336 (54,076)
Citation 1

Abstract:

dark trading, midpoint orders, limit order book trading

4.

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

Downloads 333 ( 73,326)

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 191 (130,812)

Abstract:

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 142 (170,371)

Abstract:

order and quote driven trading, dealer market, execution costs

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 (61,887)

Abstract:

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 (84,603)

Abstract:

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 (230,869)

Abstract:

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

8.

Market Design with Blockchain Technology

Number of pages: 43 Posted: 30 May 2016 Last Revised: 04 Oct 2016
Katya Malinova and Andreas Park
University of Toronto and University of Toronto - Finance Area
Downloads 0 (28,296)

Abstract:

market design, trading, blockhchain, distributed ledger, transparency

9.

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
University of Melbourne - Department of Finance, University of Toronto and University of Toronto - Finance Area
Downloads 0 (101,832)

Abstract:

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

10.

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

Abstract:

market microstructure, trading volume, liquidity

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