Market Microstructure
Latency and the Look-Ahead Bias in Trade and Quote Data, with Robert Battalio, Craig Holden, Matthew Pierson, and John Shim, Reject and Resubmit at the Journal of Finance.
Previously circulated as "In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy."
[New Data on WRDS] Latency-free National Best Bid and Offer (LF NBBO), WRDS Hybrid Consolidated Trades (WHCT), and WRDS Intraday Indicators Dataset Plus (WRDS IID+) are coming on WRDS soon.
Media coverage: Nasdaq Economic Research, "Locked, Crossed and Barrel"; Financial Conduct Authority (FCA) & Europe Economics, "Pre-trade Equities Consolidated Tape."
The Illusion of Retail: Identification Errors in Public Data, with Robert Battalio, Robert Jennings, and Mehmet Saglam, Revise and Resubmit at the Journal of Finance.
Previously circulated as "Identifying Market Maker Trades as ‘Retail’ from TAQ: No Shortage of False Negatives and False Positives" and "Difficulties in Obtaining a Representative Sample of Retail Trades from Public Data Sources."
Arbitrage the Fast and Slow Networks
The True Cost of Price Discovery
Hide and Seek: Information in Daily Odd Lots Order Imbalance
Can We Identify Order Routing in Daily TAQ?
A Comprehensive Guide on NYSE Daily TAQ Data
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