The spread of COVID-19 in the New York City area forced the New York Stock Exchange (NYSE) to temporarily shut down its iconic trading floor. Using a recently developed machine learning approach, I study the effects of this COVID-19 closure on market quality during the market closing time, 3:50...

In this paper, I investigate the Tick Size Pilot Program with the goal of policy evaluation beyond average treatment effect. Using a machine learning approach, I study policy effects stock-by-stock on three major market quality measures, percentage quoted spread, consolidated displayed depth,...

A rising fraction of U.S. equity trading volume is being executed away from the national stock exchanges on the over-the-counter (OTC) market. This paper develops a theoretical model of the decision to route off-exchange to either alternative trading systems (ATS) platforms and OTC non-ATS...