Corey Garriott
YOU?
Author Swipe
View article: High-Frequency Trading Competition
High-Frequency Trading Competition Open
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects…
View article: COVID-19 Crisis: Lessons Learned for Future Policy Research
COVID-19 Crisis: Lessons Learned for Future Policy Research Open
One year later, we review the events that took place in Canadian fixed-income markets at the beginning of the COVID-19 crisis and propose potential policy research questions for future work.
View article: Banking Regulation and Market Making
Banking Regulation and Market Making Open
We model how securities dealers respond to regulations on leverage, position, and liquidity such as those imposed by the Basel III framework. The dealers respond by endogenously moving to make markets on an agency basis, matching buyers to…
View article: Government of Canada Fixed-Income Market Ecology
Government of Canada Fixed-Income Market Ecology Open
This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructu…
View article: High-Frequency Trading and Institutional Trading Costs
High-Frequency Trading and Institutional Trading Costs Open
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we …
View article: Customer Liquidity Provision in Canadian Bond Markets
Customer Liquidity Provision in Canadian Bond Markets Open
This analytical note assesses the prevalence of liquidity provision by institutional investors in Canadian bonds. We find that the practice is not prevalent in Canada. Customer liquidity provision is more prevalent for less liquid bonds, o…
View article: The Impacts of Monetary Policy Statements
The Impacts of Monetary Policy Statements Open
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary pol…
View article: Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading? Open
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades). A move towar…
View article: Will exchange-traded funds shape the future of bond dealing?
Will exchange-traded funds shape the future of bond dealing? Open
Bond dealers have traditionally kept bonds in an inventory until clients buy them. But now, dealers have another way to access bonds for their clients: the exchange-traded fund. We discuss this new way to manage bond dealing and what it mi…
View article: Trading on Long-term Information
Trading on Long-term Information Open
"Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their j…
View article: JFQ volume 53 Issue 6 Cover and Back matter
JFQ volume 53 Issue 6 Cover and Back matter Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
View article: High-Frequency Trading Competition
High-Frequency Trading Competition Open
Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entr…
View article: Retail Order Flow Segmentation
Retail Order Flow Segmentation Open
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structura…