Blockchain-based decentralized exchanges (DEXes) are a pre-requisite for the nascent decentralized finance ecosystem. The most successful form of DEX in terms of trading volume are swap exchanges, smart contracts that pool liquidity and that price transactions with a deterministic function....

We document a significant, up to 10-fold increase in the intra-day correlation of firm-specific and market returns over the last decade. This surge in the intra-day correlation of returns coincided with the advent of electronic, automated trading in U.S. markets. Using changes to the S&P500...

We study a unique data set of all client trades that the six largest Canadian dealers sent to U.S. equity markets in 2014-2015. Contrary to the public perception, Canadian dealers use U.S. markets only lightly and send less than 5% of their $-volume to the U.S.; on 60% of security-day...

In many jurisdictions, equity market regulation requires traders to honor the best quotes on all marketplaces, often forcing brokers to split client trades across multiple markets.Markets react strongly: we show that such split trades have double the price impact of single-market trades. The...

Using a change in regulatory fees in Canada in April, 2012, that affected predominantly high-frequency market makers (HFMMs), we analyze the causal impact of their activity on trading costs. The message fee caused the number of trades, quotes, and cancellations to drop by 30% driven by a...

This note is a short introduction to the main institutions in the world of crypto-asset trading. I review the different forms of centralized and decentralized trading to provide clarity on the tools and processes available and to highlight the risks and opportunities in this space. This note is...

The paper examines the concept of tokenizing assets on public permissionless blockchains such as Ethereum, Algorand or Avalanche. It starts with an overview of the core principles and components of public blockchains, such as the ownership attribution and efficient transaction processing. The...

We investigate the potential for automated market makers (AMMs) to be economically viable in and improve traditional financial markets. AMMs are a new type of trading institution that have emerged in the world of crypto-assets and process a significant portion of global crypto trading volume....

We investigate the efficacy of liquidity mining programs in decentralized lending protocols within the blockchain ecosystem. Our research addresses three main questions: whether these programs attract meaningful (and permanent) liquidity; whether the liquidity is real or ”phantom;” and...