Research

Market Microstructure

• In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy, with Craig Holden and Matthew Pierson, working paper.

[SAS code] for the Latency Timestamp-Adjusted (LTA) Method. This code is built on Holden and Jacobsen's (2014) SAS code (v.2018) and incorporates many of the latest changes in Daily TAQ. It also addresses a few newly discovered data issues and offers solutions to clean them.

Relative Best Bid and Offer (RBBO) and RBBO-matched Consolidated Trades (WRCT) are coming on WRDS. 

Media coverage: Financial Conduct Authority (FCA) & Europe Economics, "Pre-trade Equities Consolidated Tape," 2024.

• Difficulties in Obtaining a Representative Sample of Retail Trades from Public Data Sources, with Robert Battalio, Robert Jennings, and Mehmet Saglam, Revise and Resubmit at the Journal of Finance.

• Arbitrage the Fast and Slow Networks, work-in-progress 

• The True Cost of Price Discovery, work-in-progress

• Hide and Seek: Information in Daily Odd Lots Order Imbalance, work-in-progress

• Can We Identify Order Routing in Daily TAQ?, work-in-progress

• A Comprehensive Guide on NYSE Daily TAQ Data, work-in-progress

Investments

• Stylized Facts from N-SAR, N-CEN, and N-PORT: New Data from WRDS, with Jules Van Binsbergen and Matthew Pierson, work-in-progress

• ETF Fragility and Owners, with Veronika Pool and Jayoung Nam, work-in-progress