Michael Brolley

Wilfrid Laurier University

Lazaridis Hall, 4071

75 University Avenue

Waterloo, Ontario N2L 3C5

Canada

http://www.mikerostructure.com

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 38,512

SSRN RANKINGS

Top 38,512

in Total Papers Downloads

1,255

SSRN CITATIONS
Rank 29,349

SSRN RANKINGS

Top 29,349

in Total Papers Citations

3

CROSSREF CITATIONS

23

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 468 (65,928)
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 296 (111,665)
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 Cimon
Wilfrid Laurier University and Wilfrid Laurier University - School of Business & Economics
Downloads 230 (144,651)
Citation 6

Abstract:

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latency delays, speed bumps, market fragmentation, asymmetric information

4.

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 and McMaster University - Michael G. DeGroote School of Business
Downloads 117 (257,400)
Citation 4

Abstract:

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

5.

Liquid speed: A congestion fee for low-latency exchanges

Rotman School of Management Working Paper No. 3377346
Number of pages: 38 Posted: 26 Jul 2019 Last Revised: 22 May 2020
Michael Brolley and Marius Zoican
Wilfrid Laurier University and University of Toronto at Mississauga - Department of Management
Downloads 103 (281,495)

Abstract:

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high-frequency trading, trade surges, congestion pricing, market design

6.

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 Cimon and Ryan Riordan
Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and Queen's University - Smith School of Business
Downloads 41 (454,351)

Abstract:

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