Dr. Andriy Shkilko
Associate Professor (Finance); Canada Research Chair in Financial Markets
Contact InformationEmail: firstname.lastname@example.org
Phone: 519.884.0710 ext.2462
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.
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.