Surveys and Reports

Technology and Finance, with D. Duffie, L.Veldkamp and X.Vives, June 2022.
“Is trading fast dangerous“, in Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges, 2019.
- Paper here
“Where are the risks in high frequency trading“, April 2016 in Financial Stability in the Digital Era, Financial Stability Review.
- Paper here.
“HFT and Market quality“, with Bruno Biais.January 2014: An overview of the findings regarding high frequency trading as of 2014 (published in “Bankers, Markets, and Investors”
- Paper here.
“Pricing Liquidity“, in Foresight: The Future of Computer Trading in Financial Markets, 2012. Final Project Report, The Government office for Science (Driver Review, 18).
- Paper
“A central limit order book for European stocks“, in Foresight: The Future of Computer Trading in Financial Markets. Final Project Report, The Government office for Science (Economic Impact Assessment, 13).
- Paper

“Algorithmic trading: issues and preliminary evidence“, in “Market microstructure: confronting many viewpoints“, Wiley, May 2012.

“Market transparency” with Marco Pagano and Ailsa Roëll in “Encyclopedia of Quantitative Finance“, Vol III, p. 1131, Wiley 2010.

“Limit order markets” in “Encyclopedia of Quantitative Finance”, Vol. III, p.1057, Wiley 2010.