Matteo Aquilina

Bank for International Settlements (BIS) - Financial Stability Board (FSB)

Basel

Switzerland

  • Bank for International Settlements (BIS) - Financial Stability Board (FSB)

SCHOLARLY PAPERS

15

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2,173

SSRN CITATIONS
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Top 33,634

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11

CROSSREF CITATIONS

13

Scholarly Papers (15)

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1.

Quantifying the High-Frequency Trading "Arms Race"

Chicago Booth Research Paper No. 20-16, Chicago Booth: George J. Stigler Center for the Study of the Economy & the State Working Paper No. 45, Fama-Miller Working Paper Series, Initiative on Global Markets Paper No. 173, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-86
Number of pages: 57 Posted: 26 Jun 2020 Last Revised: 15 Jul 2021
Matteo Aquilina, Eric B. Budish and Peter O'Neill
Bank for International Settlements (BIS) - Financial Stability Board (FSB), University of Chicago - Booth School of Business and Financial Conduct Authority
Downloads 812 (43,009)
Citation 15

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2.

City Goes Dark: Dark Trading and Adverse Selection in Aggregate Markets

FCA Occasional Paper No. 29
Number of pages: 49 Posted: 16 Aug 2016 Last Revised: 03 May 2018
Matteo Aquilina, Ivan Diaz-Rainey, Gbenga Ibikunle and Yuxin Sun
Bank for International Settlements (BIS) - Financial Stability Board (FSB), CEFGroup & Department of Accountancy and Finance, University of Otago, The University of Edinburgh and Queen's University Belfast - Queen's Management School
Downloads 436 (94,227)

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dark pools, aggregate markets, adverse selection, market liquidity, pricing noise

3.

Sharks in the Dark: Quantifying Latency Arbitrage

FCA Occasional Paper No. 21
Number of pages: 54 Posted: 09 Mar 2017 Last Revised: 27 Sep 2021
Matteo Aquilina, Sean Foley, Peter O'Neill and Thomas Ruf
Bank for International Settlements (BIS) - Financial Stability Board (FSB), Macquarie University, Financial Conduct Authority and University of New South Wales (UNSW)
Downloads 299 (143,023)
Citation 1

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high-frequency trading, dark pools, latency arbitrage, reference prices

4.

Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market

FCA Occasional Paper No. 16
Number of pages: 39 Posted: 09 Mar 2017 Last Revised: 05 Apr 2017
Matteo Aquilina and Carla Ysusi
Bank for International Settlements (BIS) - Financial Stability Board (FSB) and Financial Conduct Authority
Downloads 168 (245,836)

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High frequency trading, order anticipation, market microstructure

5.

Transparency in the UK Bond Markets: An Overview

FCA Occasional Paper No. 6
Number of pages: 34 Posted: 09 Mar 2017
Matteo Aquilina, Darren Butterworth, Felix Suntheim, Christian Winkler and Carla Ysusi
Bank for International Settlements (BIS) - Financial Stability Board (FSB), Durham University - Department of Economics and Finance, International Monetary Fund (IMF) - Monetary and Capital Markets Department, European Securities and Markets Authority and Financial Conduct Authority
Downloads 108 (344,325)

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Bond Markets, Transparency

6.

Market-Based Finance: Its Contributions and Emerging Issues

FCA Occasional Paper No. 18
Number of pages: 62 Posted: 09 Mar 2017
Matteo Aquilina and Wladimir Kraus
Bank for International Settlements (BIS) - Financial Stability Board (FSB) and Financial Conduct Authority
Downloads 106 (348,750)

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shadow banking, money view

7.

Benchmark Regulation and Market Quality

FCA Occasional Paper No. 27
Number of pages: 52 Posted: 29 Jul 2017
Matteo Aquilina, Gbenga Ibikunle, Vito Mollica and Tom Steffen
Bank for International Settlements (BIS) - Financial Stability Board (FSB), The University of Edinburgh, Macquarie Graduate School of Management and Osmosis Investment Management
Downloads 84 (403,668)

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8.

The Value for Money of Annuities and Other Retirement Income Strategies in the UK

FCA Occasional Paper No. 5
Number of pages: 97 Posted: 09 Mar 2017
Matteo Aquilina, Robert Baker and Tommaso Majer
Bank for International Settlements (BIS) - Financial Stability Board (FSB), Financial Conduct Authority and Financial Conduct Authority
Downloads 74 (433,952)
Citation 1

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9.

Sharks in the Dark: Quantifying Hft Dark Pool Latency Arbitrage

Number of pages: 50 Posted: 08 Jul 2022
Sean Foley, Peter O'Neill, Matteo Aquilina and Thomas Ruf
Macquarie University, Financial Conduct Authority, Bank for International Settlements (BIS) - Financial Stability Board (FSB) and University of New South Wales (UNSW)
Downloads 45 (552,250)

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high-frequency trading, dark pools, latency arbitrage, stale quotes, reference prices

10.

The Effects of Regulating Benchmarks

Forthcoming, Economic Letters
Number of pages: 7 Posted: 27 Jun 2019
Matteo Aquilina, Andrea Pirrone and Andrea Pirrone
Bank for International Settlements (BIS) - Financial Stability Board (FSB) and Financial Conduct AuthorityThe Systemic Risk Centre, The London School of Economics and Political Science
Downloads 22 (686,251)
Citation 1

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Benchmark, Search, Regulation

11.

Elasticity of Substitution, Small Enterprises and Economic Growth

Small Business Economics, No. 26, 2006
Number of pages: 27 Posted: 15 Feb 2017
Matteo Aquilina, Rainer Klump and Carlo Pietrobelli
Bank for International Settlements (BIS) - Financial Stability Board (FSB), University of Frankfurt - Economics and Business Administration Area and University Roma Tre, Department of Economics
Downloads 14 (752,135)

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Average Firm Size, General Equilibrium Models, Neoclassical Growth Models, CES Function

12.

Quantifying the High-Frequency Trading "Arms Race"

NBER Working Paper No. w29011
Number of pages: 55 Posted: 12 Jul 2021 Last Revised: 09 Apr 2022
Matteo Aquilina, Eric B. Budish and Peter O'Neill
Bank for International Settlements (BIS) - Financial Stability Board (FSB), University of Chicago - Booth School of Business and Financial Conduct Authority
Downloads 5 (840,386)
Citation 1
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13.

Liquidity in the UK Corporate Bond Market: Evidence from Trade Data

FCA Occasional Paper No. 14
Posted: 09 Mar 2017 Last Revised: 05 Apr 2017
Matteo Aquilina and Felix Suntheim
Bank for International Settlements (BIS) - Financial Stability Board (FSB) and International Monetary Fund (IMF) - Monetary and Capital Markets Department

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Corporate bonds, Liquidity

14.

The Money's Worth of Annuities in the UK between 2006 and 2014

The Journal of the Economics of Ageing, 2016
Posted: 23 Nov 2016
Matteo Aquilina, Robert Baker and Tommaso Majer
Bank for International Settlements (BIS) - Financial Stability Board (FSB), Financial Conduct Authority and Financial Conduct Authority

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Annuities; Insurance; Money’s Worth; Pension

15.

Quantity De-Restriction in the Taxi Market. Results from English Case Studies

Journal of Transport Economics and Policy, Vol. 45, No. 2 (May 2011), pp. 179-195
Posted: 20 Sep 2016
Matteo Aquilina
Bank for International Settlements (BIS) - Financial Stability Board (FSB)

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