In this paper, we provide a flexible framework for optimal trading in an asset listed on
different venues. We take into account the dependencies between the imbalance and …

This paper analyzes the NYSE Chicago's move to the Pillar integrated trading platform in
November 2019. Following the move to Pillar, reported trading volume increases …

We find trading dynamics in bond ETFs and equity ETFs to be different. Although lit trading
activity in equity ETFs is greater than bond ETFs, hidden liquidity in bond ETFs is …

We analyze the impact of trading dynamics, including fragmentation of markets, undisplayed
(dark), and algorithmic trading, on liquidity formation in initial public offerings (IPOs). We find …

Like many exchanges the Chicago Mercantile Exchange allows traders to conceal part of
their limit orders, known as a hidden‐limit order (HLO) or iceberg order. With HLOs, market …

This thesis is split into three parts. In the first part, we apply the Principal-Agent theory to
some problems of market microstructure. First, we build an incentives mechanism to improve …