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

  • Wilfrid Laurier University - Lazaridis School of Business and Economics

SCHOLARLY PAPERS

9

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2,902

TOTAL CITATIONS
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Top 22,535

in Total Papers Citations

61

Scholarly Papers (9)

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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 630 (89,302)
Citation 17

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

2.

Cyber Risk and Security Investment

Downloads 468 (128,958)
Citation 4

Cyber Risk and Security Investment

Number of pages: 41 Posted: 17 Mar 2022 Last Revised: 22 Jan 2024
Toni Ahnert, Michael Brolley, David A. Cimon and Ryan Riordan
European Central Bank, Financial Research Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, Bank of Canada and Queen's University - Smith School of Business
Downloads 467 (127,708)
Citation 3

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Cyber risk, cyber security, ransomware, security ratings, regulation

Cyber Security and Ransomware in Financial Markets

CEPR Discussion Paper No. DP17403
Number of pages: 55 Posted: 23 Jun 2022
Toni Ahnert, Michael Brolley, David Cimon and Ryan Riordan
European Central Bank, Financial Research Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, Government of Canada - Bank of Canada and Queen's University - Smith School of Business
Downloads 1 (1,356,335)
Citation 1
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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 433 (141,509)
Citation 14

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latency delays, speed bumps, market fragmentation, asymmetric information

4.

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 390 (159,447)
Citation 3

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dark trading, limit order book, informed trading, regulation

5.

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

Journal of Financial Markets, Volume 64, June 2023, 100785
Number of pages: 62 Posted: 26 Jul 2019 Last Revised: 30 Jan 2024
Michael Brolley and Marius Zoican
Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Calgary - Haskayne School of Business
Downloads 328 (192,865)
Citation 7

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

6.

Informed Liquidity Provision in a Limit Order Market

Journal of Financial Markets, volume 52, 2021[10.1016/j.finmar.2020.100566]
Number of pages: 44 Posted: 03 Jan 2018 Last Revised: 20 Jan 2025
Michael Brolley and Katya Malinova
Wilfrid Laurier University - Lazaridis School of Business and Economics and McMaster University - Michael G. DeGroote School of Business
Downloads 284 (224,654)
Citation 15

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

7.

Liquidity Provision Under Flat Commissions in a Maker-Taker World

Number of pages: 65 Posted: 03 Dec 2020 Last Revised: 05 Aug 2022
Michael Brolley and Katya Malinova
Wilfrid Laurier University - Lazaridis School of Business and Economics and McMaster University - Michael G. DeGroote School of Business
Downloads 184 (341,758)

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Maker-taker fee, liquidity, limit order book

8.

On-Demand Fast Trading on Decentralized Exchanges

Finance Research Letters, 51 (January 2023), 103350
Number of pages: 15 Posted: 04 Aug 2022 Last Revised: 02 Dec 2022
Michael Brolley and Marius Zoican
Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Calgary - Haskayne School of Business
Downloads 133 (451,396)
Citation 1

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high-frequency trading, FinTech, decentralized exchanges, market design

9.

Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets

Number of pages: 42 Posted: 16 Jan 2025 Last Revised: 08 Mar 2025
Michael Brolley and David A. Cimon
Wilfrid Laurier University - Lazaridis School of Business and Economics and Bank of Canada
Downloads 52 (793,200)

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Fixed income, dealers, non-bank financial institutions, principal trading firms, hedge funds, liquidity, market structure, entry decisions