Andriy Shkilko

Wilfrid Laurier University - Lazaridis School of Business and Economics

Associate Professor of Finance

LH 4050

75 University Ave. W.

Waterloo, Ontario N2L3C5

Canada

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 4,759

SSRN RANKINGS

Top 4,759

in Total Papers Downloads

10,393

SSRN CITATIONS
Rank 9,893

SSRN RANKINGS

Top 9,893

in Total Papers Citations

58

CROSSREF CITATIONS

66

Scholarly Papers (18)

1.

High-Frequency Trading and Extreme Price Movements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 19 Jun 2020
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics, Louvain School of Management (UCL), Queen's University - Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 3,233 (4,095)
Citation 28

Abstract:

Loading...

Extreme price movements, jumps, high-frequency trading

2.

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 06 Oct 2016 Last Revised: 07 Oct 2020
Andriy Shkilko and Konstantin Sokolov
Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 1,535 (13,900)
Citation 24

Abstract:

Loading...

Liquidity, Gains from Trade, Speed Differentials, Microwave Connectivity

3.

Aggressive Short Selling and Price Reversals

AFA 2008 New Orleans Meetings Paper
Number of pages: 46 Posted: 21 Mar 2007 Last Revised: 07 Feb 2011
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 1,401 (16,081)
Citation 10

Abstract:

Loading...

Short selling, price reversals, speculative and predatory trading, order imbalances

4.

Evaluating Trade Classification Algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 30 Nov 2012 Last Revised: 17 Jun 2015
Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 1,193 (20,509)
Citation 17

Abstract:

Loading...

trade classification, bulk volume classification, tick rule, Lee and Ready, VPIN

5.

Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Management Science, Forthcoming
Number of pages: 38 Posted: 21 Sep 2013 Last Revised: 31 Jul 2019
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 490 (68,904)
Citation 4

Abstract:

Loading...

Liquidity; Unfiltered Market Access; Picking Off Risk; Latency-Sensitive Trading

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Vol. 11, No. 2, 2008
Number of pages: 39 Posted: 15 Sep 2004 Last Revised: 17 Dec 2009
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 450 (75,737)
Citation 13

Abstract:

Loading...

NASDAQ, Competition

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Forthcoming
Posted: 18 Apr 2007
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

Abstract:

Loading...

NASDAQ, Competition

7.

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

Number of pages: 52 Posted: 04 Nov 2011 Last Revised: 29 Nov 2012
University of Notre Dame - Department of Finance, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Mississippi - Department of Finance
Downloads 435 (79,593)
Citation 11

Abstract:

Loading...

options markets, payment for order flow, maker-taker model

8.

Information transfers and learning in financial markets: Evidence from short selling around insider sales

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 15 Jan 2008 Last Revised: 07 Jan 2013
Bidisha Chakrabarty and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 410 (85,333)
Citation 6

Abstract:

Loading...

Insider trading; Short selling; Information transfers; Brokerage effect

9.

Locked and Crossed Markets on Nasdaq and the Nyse

Journal of Financial Markets, 2008
Number of pages: 41 Posted: 29 Oct 2004 Last Revised: 03 Nov 2011
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 332 (108,554)
Citation 2

Abstract:

Loading...

Locked, Crossed, Multi-market trading

10.

Short Sellers' Informational Advantage and the Turn-of-the-Month Anomaly

Number of pages: 29 Posted: 16 Jan 2009 Last Revised: 06 Dec 2010
Benjamin M. Blau and Andriy Shkilko
Utah State University - Huntsman School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 246 (148,499)

Abstract:

Loading...

short selling, return anomalies, arbitrage

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Number of pages: 42 Posted: 07 Feb 2011 Last Revised: 12 Jan 2012
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 203 (178,060)
Citation 10

Abstract:

Loading...

Trade Classification, Short Sales, Lee-Ready, Trade Initiation

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Journal of Financial Markets, Forthcoming
Posted: 22 Jan 2012
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics

Abstract:

Loading...

trade classification, short sales, long sales, Lee-Ready algorithm, short sale aggressiveness

12.

Inter-Market Competition for NYSE-Listed Securities under Decimals

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 32 Posted: 13 Apr 2007 Last Revised: 07 Feb 2011
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 144 (239,555)
Citation 1

Abstract:

Loading...

Competition, market microstructure, execution costs

13.

The Conduits of Price Discovery: A Machine Learning Approach

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 48 Posted: 14 Oct 2020 Last Revised: 04 Mar 2021
Amy Kwan, Richard Philip and Andriy Shkilko
University of Sydney Business School, University of Sydney Business School and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 83 (351,512)

Abstract:

Loading...

price discovery, order submission strategies, machine learning

14.

On the Effects of Continuous Trading

Number of pages: 29 Posted: 01 Dec 2020 Last Revised: 04 Mar 2021
Ivan Indriawan, Roberto Pascual and Andriy Shkilko
Auckland University of Technology - Department of Finance, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 73 (378,514)
Citation 1

Abstract:

Loading...

liquidity, adverse selection, continuous trading, batch auctions

Quote Competitiveness, 100-Share Quotes, and Decimalization

Financial Review, 2011
Number of pages: 20 Posted: 06 Dec 2009 Last Revised: 29 Nov 2012
Ning Tang and Andriy Shkilko
Wilfrid Laurier University and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 56 (440,083)

Abstract:

Loading...

Quote competitiveness, Decimalization, 100-share quotes

Quote Competitiveness, 100-share Quotes, and Decimalization

Financial Review, Vol. 46, No. 1, pp. 89-101, 2011
Number of pages: 13 Posted: 10 Jan 2011
Ning Tang, Andriy Shkilko and Gregory R. Stone
Wilfrid Laurier University, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Nevada, Reno
Downloads 1 (792,858)
  • Add to Cart

Abstract:

Loading...

quote competitiveness, NYSE, NASDSAQ, regional exchanges, decimalization, 100-share quotes, autoquotes

16.

Catering Through Nominal Share Prices Revisited

Critical Finance Review, 2017
Number of pages: 37 Posted: 27 Feb 2018
Marcos Fabricio Perez and Andriy Shkilko
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 45 (476,122)

Abstract:

Loading...

Stock splits, Nominal share price, Catering

17.

Do Brokers of Insiders Tip Other Clients?

Management Science, 2017
Number of pages: 45 Posted: 08 Mar 2018
William J. McNally, Andriy Shkilko and Brian F. Smith
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and Wilfrid Laurier University
Downloads 33 (531,982)
Citation 4

Abstract:

Loading...

Insider trading, Tipping, Brokerages

18.

Factor Models for Binary Financial Data

Number of pages: 45 Posted: 30 Jan 2018
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 30 (547,811)

Abstract:

Loading...

Factor Analysis, Discrete Data; Principal Components; Stock Splits; Catering; Commonality; Common Factors