Markus Baldauf

University of British Columbia (UBC) - Division of Finance

2053 Main Mall

Vancouver, BC V6T 1Z2

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 13,109

SSRN RANKINGS

Top 13,109

in Total Papers Downloads

5,361

SSRN CITATIONS
Rank 9,932

SSRN RANKINGS

Top 9,932

in Total Papers Citations

87

CROSSREF CITATIONS

38

Scholarly Papers (10)

1.

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 1,604 (15,995)
Citation 31

Abstract:

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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

2.

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
University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Chicago
Downloads 1,510 (17,575)
Citation 80

Abstract:

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Heterogeneous beliefs, climate change, real estate prices

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 605 (63,115)
Citation 16

Abstract:

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

4.

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 491 (81,911)
Citation 9

Abstract:

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high-frequency trading, liquidity provision, speed heterogeneity

5.

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 459 (88,790)
Citation 3

Abstract:

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

6.

Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact

Number of pages: 77 Posted: 18 Feb 2021 Last Revised: 04 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 251 (170,667)
Citation 1

Abstract:

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agency conflict, dealer-client relationship, principal trading, price impact

7.

Competition and Information Leakage

Number of pages: 63 Posted: 28 Jan 2021 Last Revised: 01 Jul 2022
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 187 (224,343)
Citation 1

Abstract:

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principal trading, request for quotes, information design, price impact, front-running

8.

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

Number of pages: 71 Posted: 08 Apr 2021 Last Revised: 26 May 2022
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 157 (260,227)

Abstract:

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

9.

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 83 (406,404)

Abstract:

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rank incentives, targets, peer competition, effort choice

10.

Siphoned Apart: A Portfolio Perspective on Order Flow Fragmentation

Number of pages: 54 Posted: 04 Aug 2022
Markus Baldauf, Joshua Mollner and Bart Z. Yueshen
University of British Columbia (UBC) - Division of Finance, Northwestern University - Kellogg School of Management and INSEAD - Finance
Downloads 14 (751,856)

Abstract:

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