Author Page for Matteo Aquilina

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 1,071 (40,711)

Citation 15

Abstract:

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 1,029 (43,135)

Abstract:

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

Matteo Aquilina, Ivan Diaz-Rainey, Gbenga Ibikunle and Yuxin Sun

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 520 (105,597)

Citation 3

Abstract:

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 429 (132,733)

Citation 1

Abstract:

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 281 (210,466)

Citation 2

Abstract:

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 223 (264,325)

Citation 1

Abstract:

7.

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, 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 202 (289,731)

Abstract:

8.

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 172 (334,711)

Abstract:

9.

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 170 (338,210)

Abstract:

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 131 (418,129)

Citation 1

Abstract:

11.

Asset Price Bubbles and Systemic Risk: Evidence from Money Market Funds

Number of pages: 35 Posted: 19 Feb 2024

Matteo Aquilina, Peter Cincinelli and Giovanni Urga

Bank for International Settlements, Department of Management, University of Bergamo, Italy and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

Downloads 91 (546,348)

Abstract:

12.

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 76 (603,658)

Citation 1

Abstract:

13.

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 49 (746,661)

Abstract:

14.

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 46 (766,238)

Citation 2

Abstract:

15.

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:

16.

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

Abstract:

17.

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

Matteo Aquilina

Bank for International Settlements

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Scholarly Papers (17)

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