Need for Speed? Exchange Latency and Market Liquidity, 2016, with Marius Zoican, Review of Financial Studies (forthcoming) (covered by Bloomberg, slides).
Shades of Darkness: A Pecking Order of Trading Venues, 2016, with Bart Zhou Yueshen and Haoxiang Zhu, Journal of Financial Economics (forthcoming).
Competition for Order Flow and Smart Order Routing Systems?, 2008, with Thierry Foucault, Journal of Finance 63, 119-158 (slides).
Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, 2008, with Kalok Chan and Zhishu Yang, Journal of Finance 63, 159-196 (slides).
The Economics of High-Frequency Trading: Taking Stock, 2016, Annual Review of Financial Economics 8, 1-24 (lead article).
High Frequency Traders and Market Structure, 2014, The Financial Review 49, 333-344.
How Do Designated Market Makers Create Value for Small-Cap Stocks?, 2013, with Ting Wang, Journal of Financial Markets 16, 571-603.
Customer Flow, Intermediaries, and the Discovery of the Equilibrium Riskfree Rate, 2012, with Asani Sarkar and Michel van der Wel, Journal of Financial and Quantitative Analysis 47, 821-849.
Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks, 2008, Journal of Financial Intermediation 17, 145-174.
Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods, 2007, with Siem-Jan Koopman and André Lucas, Journal of Business & Economic Statistics 25, 213-225 (slides).
Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York, 2002, with Erik C.J. Hupperets, Journal of Financial Markets 5, 57-82.
Implementation Shortfall with Transitory Price effects, 2013, with Terrence Hendershott and Charles M. Jones, in David Easley, Marcos López de Prado, and Maureen O'Hara, editors, High-Frequency Trading: New Realities for Traders, Markets and Regulators.