Michael Brolley

Wilfrid Laurier University - Lazaridis School of Business and Economics

Lazaridis Hall, 4071

75 University Avenue

Waterloo, Ontario N2L 3C5

Canada

http://www.mikerostructure.com

SCHOLARLY PAPERS

7

DOWNLOADS
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1,641

SSRN CITATIONS
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SSRN RANKINGS

Top 29,588

in Total Papers Citations

8

CROSSREF CITATIONS

22

Scholarly Papers (7)

1.

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

Number of pages: 49 Posted: 20 Nov 2012 Last Revised: 09 Nov 2020
Michael Brolley and Katya Malinova
Wilfrid Laurier University - Lazaridis School of Business and Economics and McMaster University - Michael G. DeGroote School of Business
Downloads 507 (71,239)
Citation 17

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

Management Science (accepted)
Number of pages: 56 Posted: 18 Sep 2015 Last Revised: 25 Jun 2019
Michael Brolley
Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 324 (119,965)
Citation 3

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: 53 Posted: 24 Jul 2017 Last Revised: 18 May 2020
Michael Brolley and David A. Cimon
Wilfrid Laurier University - Lazaridis School of Business and Economics and Bank of Canada
Downloads 279 (140,000)
Citation 4

Abstract:

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latency delays, speed bumps, market fragmentation, asymmetric information

4.

Liquid speed: A micro-burst fee for low-latency exchanges

Rotman School of Management Working Paper No. 3377346, European Finance Association 2020 Helsinki
Number of pages: 49 Posted: 26 Jul 2019 Last Revised: 04 Nov 2021
Michael Brolley and Marius Zoican
Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Toronto at Mississauga - Department of Management
Downloads 186 (206,322)

Abstract:

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high-frequency trading, latency arbitrage, dynamic pricing, market design, FinTech

5.

Informed Liquidity Provision in a Limit Order Market

Number of pages: 45 Posted: 03 Jan 2018 Last Revised: 21 Apr 2020
Michael Brolley and Katya Malinova
Wilfrid Laurier University - Lazaridis School of Business and Economics and McMaster University - Michael G. DeGroote School of Business
Downloads 173 (219,685)
Citation 9

Abstract:

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

6.

Maker-Taker Fees and Liquidity: The Role of Commission Structures

Number of pages: 62 Posted: 03 Dec 2020
Michael Brolley and Katya Malinova
Wilfrid Laurier University - Lazaridis School of Business and Economics and McMaster University - Michael G. DeGroote School of Business
Downloads 89 (358,776)

Abstract:

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Maker-taker fee, liquidity, limit order book

7.

Efficient Cyber Risk: Security and Competition in Financial Markets

Number of pages: 59 Posted: 12 Mar 2020 Last Revised: 16 Jun 2020
Michael Brolley, David A. Cimon and Ryan Riordan
Wilfrid Laurier University - Lazaridis School of Business and Economics, Bank of Canada and Queen's University - Smith School of Business
Downloads 83 (374,421)

Abstract:

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cyber risk, regulation, principal-agent, market structure, competition