Markus Baldauf

University of British Columbia (UBC) - Division of Finance

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Vancouver, BC V6T 1Z2

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  • University of British Columbia (UBC) - Division of Finance

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 6,804

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201

CROSSREF CITATIONS

30

Scholarly Papers (10)

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1.

Does Climate Change Affect Real Estate Prices? Only If You Believe in It

Number of pages: 55 Posted: 11 Sep 2018 Last Revised: 04 Sep 2019
Markus Baldauf, Lorenzo Garlappi and Constantine Yannelis
University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Chicago
Downloads 1,753 (16,727)
Citation 159

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Heterogeneous beliefs, climate change, real estate prices

2.

High-Frequency Trading and Market Performance

Journal of Finance, Vol. 75, No. 3, pp. 1495–1526
Number of pages: 142 Posted: 17 Oct 2015 Last Revised: 10 Nov 2020
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 1,752 (16,740)
Citation 61

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high-frequency trading, order anticipation, quote fade, latency, information production, bid-ask spread, limit order book, non-cancellation delay, asymmetric delay, speed bump, frequent batch auctions

3.

Trading in Fragmented Markets

Journal of Financial and Quantitative Analysis, Vol. 56, No. 1 (February 2021), pp. 93–121.
Number of pages: 75 Posted: 22 May 2016 Last Revised: 14 Jan 2021
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 678 (65,119)
Citation 21

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exchange competition, fragmenation, high-frequency trading, liquidity, bid-ask spread

4.

Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact

Number of pages: 79 Posted: 18 Feb 2021 Last Revised: 12 Jun 2023
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 548 (85,044)
Citation 1

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agency conflict, block trading, contracting, dealer-client relationship, price impact

5.

Fast Traders Make a Quick Buck: The Role of Speed in Liquidity Provision

Journal of Financial Markets, Vol. 58 (March 2022), Art. 100621
Number of pages: 61 Posted: 08 Aug 2015 Last Revised: 21 Mar 2022
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 547 (85,238)
Citation 9

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high-frequency trading, liquidity provision, speed heterogeneity

6.

Principal Trading Arrangements: When Are Common Contracts Optimal?

Management Science, Vol. 68, No. 4, pp. 3112–3128
Number of pages: 56 Posted: 24 May 2018 Last Revised: 03 May 2022
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 535 (87,615)
Citation 3

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benchmark manipulation, dealer-client agency conflict, front-running, principal trading, volume-weighted average price (VWAP)

7.

Competition and Information Leakage

Journal of Political Economy (Forthcoming)
Number of pages: 88 Posted: 28 Jan 2021 Last Revised: 28 Jul 2023
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 387 (128,594)
Citation 1

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counterparty search, over-the-counter (OTC) markets, request for quotes (RFQ), trading platform design, information design, price impact, front-running

8.

Siphoned Apart: A Portfolio Perspective on Order Flow Segmentation

Number of pages: 70 Posted: 04 Aug 2022 Last Revised: 28 Mar 2023
Markus Baldauf, Joshua Mollner and Bart Zhou Yueshen
University of British Columbia (UBC) - Division of Finance, Northwestern University - Kellogg School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 351 (143,338)

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order flow segmentation, payment for order flow, inventory management, market maker, retail investor

9.

Profiting from Real Estate: So Easy a Congressman Can Do It

Number of pages: 71 Posted: 08 Apr 2021 Last Revised: 26 May 2022
Markus Baldauf, Jack Y Favilukis, Lorenzo Garlappi and Keling Zheng
University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 284 (179,403)

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Real estate, housing returns, U.S. Congress, politicians

10.

Pedaling Peers: The Effect of Targets on Performance

Journal of Economic Behavior and Organization, Vol. 167, pp. 90–103
Number of pages: 45 Posted: 25 Dec 2015 Last Revised: 10 Nov 2020
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 97 (445,596)

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rank incentives, targets, peer competition, effort choice