Trading activity surges associated with latency arbitrage are costly, as they lead to both lower liquidity and inefficient investments in order processing capacity that remains idle 90% of the time. A congestion message fee on liquidity-taking orders alleviates both concerns. The fee surges...

We set out an open, monocentric city with residential structures and reflect how changes to the amenity index affects the city. On the consumption side an amenity is represented by an exogenous boost to the utility of a resident's current commodity bundle. The cities population, land rent and...

Latency delays - known as "speed bumps" - are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote "quote fading" by market makers. We construct a model of informed trading...

Financial markets face the constant threat of cyber attacks. We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients' vulnerability to cyber attacks and about the fees...