Research

 

Publications

 

Refereed academic journals:

 

“Private Information Flow and Price Discovery in the U.S. Treasury Market,” with George Jiang, Journal of Banking and Finance, forthcoming.

 

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market,” with George Jiang and Adrien Verdelhan, Journal of Financial and Quantitative Analysis, Volume 46, 2, 2011, pp 527-551.

 

Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?,” with Stephen Sapp, forthcoming, Journal of International Financial Markets, Institutions and Money, Volume 20, 3, 2010, pp 213-237.

 

 Order Submission: The Choice between Limit and Market Orders,” with Stephen Sapp, Journal of International Money and Finance, 2008, 27, 1056-1073.

 

Portfolio formations can affect asset pricing tests,” Journal of Asset Management, 2004, 5, 203–216.

 

Book chapters:

 

Pretrade and Posttrade Transparency” with Stephen Sapp, Market Microstructure in Emerging and Developed Markets, edited by K. Baker, 2013, pp345-364.

 

“Misspecification in the Linear Pricing Model,” Linear Factor Models in Finance, edited by John Knight and Stephen Satchell, Butterworth-Heinemann, 2005, 30-60.

 

“Implications of the Method of Portfolio Formation on Empirical Asset Pricing Tests,” Linear Factor Models in Finance, edited by John Knight and Stephen Satchell, Butterworth-Heinemann, 2005, 95-149.

 


 

Working Papers

 

“Information Shocks, Jumps, and Price Discovery – Evidence from the U.S. Treasury Market,” with George J. Jiang and Adrien Verdelhan, Bank of Canada Working Paper 2008-22. 

 

“Price Formation and Liquidity Provision in Short-Term Fixed Income Markets,” with Chris D’Souza and Stephen Sapp, Bank of Canada Working Paper 2007-27.

 

“Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?” with Stephen Sapp, Bank of Canada Working Paper 2007-23.

 

“A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market,” with Stephen Sapp, Bank of Canada Working Paper 2006-8.

 

“An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate,” Bank of Canada Working Paper 2005-45.

 

“Order Submission: The Choice between Limit and Market Orders,” with Stephen Sapp, Bank of Canada Working Paper 2005-42.

 


 

Work in Progress

 

“Low Latency Trading,” with George Jiang

 

“High Frequency Trading in the US Treasury Market – Evidence around Scheduled Macroeconomic Announcement,” with George Jiang and Giorgio Valente.

 

“High Frequency Trading and Treasury Bond Returns,” with Xiaoquan Liu, Minh Nguyen and Giorgio Valente.

 

“A Model of Canadian Interbank Market,” with Jonathan Chiu.