Michael Brolley

Wilfrid Laurier University

Lazaridis Hall, 4071

75 University Avenue

Waterloo, Ontario N2L 3C5

Canada

http://www.mikerostructure.com

SCHOLARLY PAPERS

6

DOWNLOADS
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SSRN RANKINGS

Top 39,922

in Total Papers Downloads

1,132

SSRN CITATIONS
Rank 28,795

SSRN RANKINGS

Top 28,795

in Total Papers Citations

2

CROSSREF CITATIONS

22

Scholarly Papers (6)

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 McMaster University - Michael G. DeGroote School of Business
Downloads 458 (64,356)
Citation 16

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
Downloads 286 (110,302)
Citation 2

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: 24 Jul 2019
Michael Brolley and David Cimon
Wilfrid Laurier University and Wilfrid Laurier University - School of Business & Economics
Downloads 211 (149,854)
Citation 6

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 McMaster University - Michael G. DeGroote School of Business
Downloads 92 (290,155)
Citation 3

Abstract:

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

5.

Liquid Speed: On-Demand Fast Trading at Distributed Exchanges

Rotman School of Management Working Paper No. 3377346
Number of pages: 30 Posted: 26 Jul 2019 Last Revised: 07 Nov 2019
Michael Brolley and Marius Zoican
Wilfrid Laurier University and University of Toronto at Mississauga - Department of Management
Downloads 75 (328,426)

Abstract:

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

6.

Efficient Cyber Risk: Security and Competition in Financial Markets

Number of pages: 54
Michael Brolley, David Cimon and Ryan Riordan
Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and Queen's University - Smith School of Business
Downloads 10

Abstract:

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