Markus Baldauf

University of British Columbia (UBC) - Division of Finance

2053 Main Mall

Vancouver, BC V6T 1Z2

Canada

SCHOLARLY PAPERS

6

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2,190

CITATIONS
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Top 15,984

in Total Papers Citations

31

Scholarly Papers (6)

1.

High-Frequency Trading and Market Performance

Number of pages: 126 Posted: 17 Oct 2015 Last Revised: 01 May 2019
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 763 (31,318)
Citation 13

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.

Trading in Fragmented Markets

Number of pages: 77 Posted: 22 May 2016 Last Revised: 21 Jun 2019
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 441 (63,858)
Citation 8

Abstract:

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

3.

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

Number of pages: 51 Posted: 11 Sep 2018
University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Sauder School of Business and New York University Leonard N. Stern School of Business
Downloads 423 (67,311)
Citation 6

Abstract:

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Heterogeneous beliefs, climate change, real estate prices

4.

Fast Trading on Fake News: The Role of Speed in Liquidity Provision

Number of pages: 50 Posted: 08 Aug 2015 Last Revised: 12 Dec 2018
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 352 (83,590)
Citation 7

Abstract:

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high-frequency trading, liquidity provision, speed heterogeneity

5.

Contracting for Financial Execution

Number of pages: 51 Posted: 24 May 2018 Last Revised: 29 Mar 2019
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 156 (186,782)
Citation 1

Abstract:

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Agency Conflict, Benchmark Manipulation, Broker-Client Relationship, Foreign Exchange Fix, Front-Running, Pre-Trade Hedging, Volume-Weighted Average Price, VWAP

6.

Peloton Peers: The Effect of Targets on Performance

Number of pages: 36 Posted: 25 Dec 2015 Last Revised: 07 Feb 2019
Markus Baldauf and Joshua Mollner
University of British Columbia (UBC) - Division of Finance and Northwestern University - Kellogg School of Management
Downloads 55 (367,339)

Abstract:

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rank incentives, targets, peer competition, effort choice