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
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