Michael Brolley

Wilfrid Laurier University

Lazaridis Hall, 4071

75 University Avenue

Waterloo, Ontario N2L 3C5

Canada

http://www.mikerostructure.com

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 44,260

SSRN RANKINGS

Top 44,260

in Total Papers Downloads

844

CITATIONS

1

Scholarly Papers (4)

1.

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 421 (62,780)
Citation 1

Abstract:

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

2.

Price Improvement and Execution Risk in Lit and Dark Markets

Number of pages: 57 Posted: 18 Sep 2015 Last Revised: 05 Aug 2018
Michael Brolley
Wilfrid Laurier University
Downloads 237 (118,946)

Abstract:

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dark trading, limit order book, informed trading, regulation

3.

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

Number of pages: 52 Posted: 24 Jul 2017 Last Revised: 17 Jun 2018
Michael Brolley and David Cimon
Wilfrid Laurier University and Bank of Canada
Downloads 131 (201,739)

Abstract:

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Latency delays, speed bumps, market fragmentation, asymmetric information

4.

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 55 (345,459)

Abstract:

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