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,...

I examine the effects of Nasdaq's introduction of an anonymous trading facility called SIZE. I compare SIZE to competing ECNs in terms of liquidity and market impact. Despite rapid growth, SIZE has not yet attained a significant market share and rarely influences short-run price evolution. I...

This paper examines a variety of methods for extracting implied probability distributions from option prices and the underlying. The paper first explores non-parametric procedures for reconstructing densities directly from options market data. I then consider local volatility functions, both...