Work in progress
Determinants of Limit Order Cancellations (with Björn Hagströmer and Lars Nordén).
Forthcoming Finaical Review
This article investigates the economic rationale behind limit order cancellations. We put forth a model that explains the frequent limit order cancellations seen in today’s markets, and test its predictions using a unique data set from Nasdaq. Our results points towards that frequent order cancellations is a benign feature of modern market making, as opposed to different types of manipulative behavior.
Available here: https://onlinelibrary.wiley.com/doi/full/10.1111/fire.12363
Working papers
Transaction Costs of Large Orders, Trading Pace, and the Cost of Non-Execution (solo-authored).
This article investigates transaction costs for large orders which are split up by execution algorithms to be executed in smaller pieces. I find that the costs associated with not being able to execute all pieces are substantial. These costs can be lowered by speeding up the trading pace but at the expense of higher costs for the successfully executed pieces.
Dr. Jekyll and Mr. Hyde: Market Makers and Toxic Arbitrageurs (with Björn Hagströmer and Lars Nordén).
This article investigates the strategies trading firms pursue in particular cases, known as toxic arbitrage opportunities. We find that trading firms, that otherwise behave as market makers, morph into liquidity takers as toxic arbitrage opportunities emerge. In contrast to common belief, market makers are net beneficiaries of toxic arbitrage, and this finding puts into question whether the amount of toxic arbitrage leads to wider bid-ask spreads.
What Does the Order Book Depth Tell Us about Price Impact? (solo-authored)
This article investigates the information content of limit orders in an alternative way by studying the price impact implied by the depth in the limit order book. I find that the price impact estimates are slightly lower relative to those from a structural vector auto regressive model, but slightly higher compared to those from a price impact regression. Thus, the limit order book implied price impact estimates match those from benchmark models, and this finding contradicts earlier research.
