My research is on how the design of financial markets affects liquidity, price informativeness and the welfare of market participants.
I am currently working on modelling a limit order book under asymmetric information, the relevance of the tick size, trading fees, dark trading and closing auction volumes
Here is my texbook on Market Microstructure:
The Microstructure of Financial Markets, Cambridge University Press 2009
Modificato il 04/11/2021