Matteo Aquilina

Bank for International Settlements

Basel

Switzerland

SCHOLARLY PAPERS

16

DOWNLOADS

3,359

SSRN CITATIONS

45

CROSSREF CITATIONS

12

Scholarly Papers (16)

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, University of Chicago - Booth School of Business and UNSW Australia Business School, School of Banking and Finance
Downloads 974 (39,764)
Citation 15

Abstract:

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2.

Decentralised Finance (DeFi): A Functional Approach

Number of pages: 26 Posted: 18 Jan 2023 Last Revised: 14 Apr 2023
Matteo Aquilina, Jon Frost and Andreas Schrimpf
Bank for International Settlements, Bank for International Settlements and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 586 (78,211)

Abstract:

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DeFi, cryptocurrencies, blockchain, distributed ledger technology, regulation

3.

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
Bank for International Settlements, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, The University of Edinburgh and Queen's University Belfast - Queen's Management School
Downloads 475 (101,297)
Citation 2

Abstract:

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

4.

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, Macquarie University, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 362 (138,558)
Citation 1

Abstract:

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

5.

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 and Financial Conduct Authority
Downloads 211 (240,567)
Citation 2

Abstract:

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High frequency trading, order anticipation, market microstructure

6.

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, UNSW Australia Business School, School of Banking and Finance, Bank for International Settlements and University of New South Wales (UNSW)
Downloads 175 (283,314)

Abstract:

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

7.

Transparency in the UK Bond Markets: An Overview

FCA Occasional Paper No. 6
Number of pages: 34 Posted: 09 Mar 2017
Bank for International Settlements, 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 136 (348,774)

Abstract:

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Bond Markets, Transparency

8.

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 and Financial Conduct Authority
Downloads 134 (352,786)

Abstract:

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shadow banking, money view

9.

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, The University of Edinburgh, Macquarie Graduate School of Management and Osmosis Investment Management
Downloads 125 (371,680)

Abstract:

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10.

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, Financial Conduct Authority and Financial Conduct Authority
Downloads 93 (457,688)
Citation 1

Abstract:

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11.

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 and Financial Conduct AuthorityThe Systemic Risk Centre, The London School of Economics and Political Science
Downloads 44 (671,543)
Citation 1

Abstract:

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Benchmark, Search, Regulation

12.

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, University of Frankfurt - Economics and Business Administration Area and University Roma Tre, Department of Economics
Downloads 30 (767,764)

Abstract:

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

13.

Quantifying the High-Frequency Trading "Arms Race"

NBER Working Paper No. w29011
Number of pages: 55 Posted: 12 Jul 2021 Last Revised: 09 Apr 2023
Matteo Aquilina, Eric B. Budish and Peter O'Neill
Bank for International Settlements, University of Chicago - Booth School of Business and UNSW Australia Business School, School of Banking and Finance
Downloads 14 (908,045)
Citation 2

Abstract:

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14.

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 and International Monetary Fund (IMF) - Monetary and Capital Markets Department

Abstract:

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Corporate bonds, Liquidity

15.

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, Financial Conduct Authority and Financial Conduct Authority

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Annuities; Insurance; Money’s Worth; Pension

16.

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

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