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Wilfrid Laurier University Leaf
March 23, 2017
Canadian Excellence
Andriy Shkilko

Dr. Andriy Shkilko

Associate Professor (Finance); Canada Research Chair in Financial Markets

Contact Information
Phone: 519.884.0710 ext.2462
Fax: 519.884.0201
Office Location: SBE3255
Office Hours: by appointment

My research focuses on securities trading and the structure of financial markets. I study high-frequency trading, competition among equity and options exchanges, information dissemination, price pressures, institutional trading, insider trading, short selling and trade classification. In the area of corporate finance, I have worked on issues of signalling and catering.

I have received awards from the Ontario Ministry of Research and Innovation, the American Association of Individual Investors, Toronto CFA Society and Hillsdale Investment Management, Auckland Centre for Financial Research, the RS-DeGroote Conference on Market Structure and Market Integrity, the Mid-Atlantic Research Conference in Finance, and twice from the Eastern Finance Association. I currently hold research grants from the Canada Research Chairs Program, Canada Foundation for Innovation, and the Social Sciences and Humanities Research Council (SSHRC). In the past, I have also held two SSHRC grants and a grant from the NASDAQ Educational Foundation.

My engagements outside the university include consulting work with market regulators in Canada, the United Kingdom, and the provinces of British Columbia, New Brunswick and Ontario.


High frequency trading and extreme price movements, with J.. Brogaard, A. Carrion, T. Moyaert, R. Riordan and K. Sokolov, 2017, Journal of Financial Economics, forthcoming

Do brokers of insiders tip other clients? with W. McNally and B. Smith, 2017, Management Science 63, 317-332

Catering through nominal share prices revisited, with F. Perez, 2017, Critical Finance Review 6, 43-104

To pay or to be paid? The impact of taker fees and order flow inducements on trading costs in the U.S. options markets, with R. Battalio and R. Van Ness, 2015, Journal of Financial and Quantitative Analysis 51, 1637-1662

Evaluating trade classification algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready algorithm, with B. Chakrabarty and R. Pascual, 2015, Journal of Financial Markets 25, 52-79

Factor models for binary financial data, with F. Perez and K. Sokolov, 2015, Journal of Banking and Finance 61, S177-S188

Information transfers and learning in financial markets: Evidence from short selling around insider sales, with B. Chakrabarty, 2013, Journal of Banking and Finance 37, 1560-1572

Short sales, long sales, and the Lee-Ready trade classification algorithm revisited, with B. Chakrabarty and P. Moulton, 2012, Journal of Financial Markets 15, 467-491.

Short selling and intraday price pressures, with B. Van Ness and R. Van Ness, 2012, Financial Management 41, 345-370.

Locked and crossed markets on NASDAQ and the NYSE, with B. Van Ness and R. Van Ness, 2008, Journal of Financial Markets 11, 308-337.

Competition in the market for NASDAQ securities, with M. Goldstein, B. Van Ness, and R. Van Ness, 2008, Journal of Financial Markets 11, 113-143.