Work in progress

A Network Map of Information Percolation
Coauthored with Albert Menkveld
Revise and resubmit at The Journal of Finance
Blog | SSRN | Slides | Albert’s blog

Risk and Return in High-Frequency Trading
Coauthored with Matthew Baron, Jonathan Brogaard, and Andrei Kirilenko
Revise and resubmit at Journal of Financial and Quantitative Analysis
SSRN

Call Auction Volatility Extensions
Coauthored with Ester Félez Viñas
Blog | SSRN

Overestimated Effective Spread: Implications for Investors
Awarded the De la Vega Prize 2017
Blog | SSRN

Does Commonality in Illiquidity Matter to Investors?
Coauthored with Richard Anderson, Jane Binner, and Birger Nilsson
Published 2013 as a Federal Reserve Bank of St Louis Working Paper
SSRN