In his book on “Market Microstructure” Spulber presented some strange results with respect to the impact of the substitutability parameter in an intermediation model with differentiated products and inputs. Intuitively, effects in the product and the input market should be similar: if firms...

Approximately 27% of trading volume is routed from retail brokerages to seven market-making firms ("internalizers"). We estimate that two of these firms, Citadel and Virtu, handle 70% of this volume, or $70 trillion from 2017-2021. Our theoretical model predicts that spreads are wider in a...

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by...

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years....

We study fragmentation of equity trading using a model of imperfect competition among exchanges. In the model, increased competition drives down trading fees. However, additional arbitrage opportunities arise in fragmented markets, intensifying adverse selection. These opposing forces imply that...

The first paper is co-authored with Sylvain Delalay. We examine the impact of competition between ETFs on measures of market quality of the funds. The surge in new ETF creation has for consequence that groups of competing ETFs are increasingly crowded, and investors can choose from a multitude...