We study the optimal execution problem in a principal-agent setting. A client contracts to purchase a large position from a dealer at a future point in time. In the interim, the dealer acquires the position from the market, choosing how to split the parent order into smaller child orders. Price...

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...

Individuals facing competitive targets increase their effort but respond non-monotonically to the targets difficulty. We use a novel dataset of informal amateur cycling competitions to track the responses of individuals to competitively-set targets (in the form of displacement from the top of a...

We study the consequences of high-frequency trading (HFT) — and potential policy responses — via the tradeoff between liquidity and information production. Faster speeds facilitate HFT with consequences for this tradeoff: information production diminishes because informed traders have less...

In modern public equity markets, liquidity is provided by a heterogeneous set of traders with vastly different speeds. We study the consequences of information arrival in such a setting. We present a model that predicts faster traders achieve a relative increase in profits obtained from...

We model procurement auctions held by institutional traders seeking fulfillment for large trades. The dealer who wins such an auction might fill the order out of inventory or access the market for additional volumes. How many dealers should the trader contact? There is a general tradeoff: an...