Andriy Shkilko

Wilfrid Laurier University - Lazaridis School of Business and Economics

Associate Professor of Finance

LH 4050

75 University Ave. W.

Waterloo, Ontario N2L3C5

Canada

SCHOLARLY PAPERS

16

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Top 4,758

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8,437

SSRN RANKINGS

Top 6,409

in Total Papers Citations

77

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Scholarly Papers (16)

1.

High-Frequency Trading and Extreme Price Movements

Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 10 Feb 2017
University of Utah - David Eccles School of Business, University of Utah - Department of Finance, Louvain School of Management (UCL), Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 2,333 (5,429)

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Extreme price movements, jumps, high-frequency trading

2.

Aggressive Short Selling and Price Reversals

AFA 2008 New Orleans Meetings Paper
Number of pages: 46 Posted: 21 Mar 2007 Last Revised: 07 Feb 2011
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 1,361 (13,258)

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Short selling, price reversals, speculative and predatory trading, order imbalances

3.

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Number of pages: 43 Posted: 06 Oct 2016 Last Revised: 01 Apr 2019
Andriy Shkilko and Konstantin Sokolov
Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 1,193 (16,231)

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Liquidity, Gains from Trade, Speed Differentials, Microwave Connectivity

4.

Evaluating Trade Classification Algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 30 Nov 2012 Last Revised: 17 Jun 2015
Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 914 (24,189)

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trade classification, bulk volume classification, tick rule, Lee and Ready, VPIN

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Vol. 11, No. 2, 2008
Number of pages: 39 Posted: 15 Sep 2004 Last Revised: 17 Dec 2009
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 443 (62,527)

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NASDAQ, Competition

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Forthcoming
Posted: 18 Apr 2007
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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NASDAQ, Competition

6.

Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Western Finance Association 2014, European Finance Association 2015, 28th Australasian Finance and Banking Conference
Number of pages: 44 Posted: 21 Sep 2013 Last Revised: 16 Jan 2018
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 435 (64,509)

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Liquidity; Unfiltered market access; Picking off risk; Latency-sensitive trading

7.

Information transfers and learning in financial markets: Evidence from short selling around insider sales

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 15 Jan 2008 Last Revised: 07 Jan 2013
Bidisha Chakrabarty and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 397 (72,015)

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Insider trading; Short selling; Information transfers; Brokerage effect

8.

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

Number of pages: 52 Posted: 04 Nov 2011 Last Revised: 29 Nov 2012
University of Notre Dame - Department of Finance, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Mississippi - Department of Finance
Downloads 376 (76,687)

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options markets, payment for order flow, maker-taker model

9.

Locked and Crossed Markets on Nasdaq and the Nyse

Journal of Financial Markets, 2008
Number of pages: 41 Posted: 29 Oct 2004 Last Revised: 03 Nov 2011
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 322 (91,606)

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Locked, Crossed, Multi-market trading

10.

Short Sellers' Informational Advantage and the Turn-of-the-Month Anomaly

Number of pages: 29 Posted: 16 Jan 2009 Last Revised: 06 Dec 2010
Benjamin M. Blau and Andriy Shkilko
Utah State University - Huntsman School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 236 (127,172)

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short selling, return anomalies, arbitrage

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Number of pages: 42 Posted: 07 Feb 2011 Last Revised: 12 Jan 2012
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 175 (168,406)

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Trade Classification, Short Sales, Lee-Ready, Trade Initiation

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Journal of Financial Markets, Forthcoming
Posted: 22 Jan 2012
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics

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trade classification, short sales, long sales, Lee-Ready algorithm, short sale aggressiveness

12.

Inter-Market Competition for NYSE-Listed Securities under Decimals

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 32 Posted: 13 Apr 2007 Last Revised: 07 Feb 2011
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 140 (203,034)

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Competition, market microstructure, execution costs

Quote Competitiveness, 100-Share Quotes, and Decimalization

Financial Review, 2011
Number of pages: 20 Posted: 06 Dec 2009 Last Revised: 29 Nov 2012
Ning Tang and Andriy Shkilko
Wilfrid Laurier University and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 53 (377,488)

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Quote competitiveness, Decimalization, 100-share quotes

Quote Competitiveness, 100-share Quotes, and Decimalization

Financial Review, Vol. 46, No. 1, pp. 89-101, 2011
Number of pages: 13 Posted: 10 Jan 2011
Ning Tang, Andriy Shkilko and Gregory R. Stone
Wilfrid Laurier University, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Nevada, Reno
Downloads 1 (669,724)
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quote competitiveness, NYSE, NASDSAQ, regional exchanges, decimalization, 100-share quotes, autoquotes

14.

Catering Through Nominal Share Prices Revisited

Critical Finance Review, 2017
Number of pages: 37 Posted: 27 Feb 2018
Marcos Fabricio Perez and Andriy Shkilko
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 30 (458,652)

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Stock splits, Nominal share price, Catering

15.

Factor Models for Binary Financial Data

Number of pages: 45 Posted: 30 Jan 2018
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 21 (506,238)

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Factor Analysis, Discrete Data; Principal Components; Stock Splits; Catering; Commonality; Common Factors

16.

Do Brokers of Insiders Tip Other Clients?

Management Science, 2017
Number of pages: 45 Posted: 08 Mar 2018
William J. McNally, Andriy Shkilko and Brian F. Smith
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and Wilfrid Laurier University
Downloads 7 (588,682)

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Insider trading, Tipping, Brokerages