Andriy Shkilko
Andriy Shkilko
Professor of Finance, Wilfrid Laurier University
Verified email at - Homepage
Cited by
Cited by
High-frequency trading and extreme price movements
J Brogaard, A Carrion, T Moyaert, R Riordan, A Shkilko, K Sokolov
Journal of Financial Economics, 2018
Short Selling and Intraday Price Pressures
AV Shkilko, BF Van Ness, RA Van Ness
Financial Management 41, 345-370, 2012
Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited
B Chakrabarty, PC Moulton, A Shkilko
Journal of Financial Markets 15, 467-491, 2012
Competition in the market for NASDAQ securities
MA Goldstein, AV Shkilko, BF Van Ness, RA Van Ness
Journal of Financial Markets 11, 113-143, 2008
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
B Chakrabarty, R Pascual, A Shkilko
Journal of Financial Markets 25, 52-79, 2015
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs
A Shkilko, K Sokolov
Journal of Finance, forthcoming, 2020
Information transfers and learning in financial markets: Evidence from short selling around insider sales
B Chakrabarty, A Shkilko
Journal of Banking & Finance 37 (5), 1560-1572, 2013
Locked and crossed markets on NASDAQ and the NYSE
AV Shkilko, BF Van Ness, RA Van Ness
Journal of Financial Markets 11, 308-337, 2008
To pay or be paid? The impact of taker fees and order flow inducements on trading costs in US options markets
R Battalio, A Shkilko, R Van Ness
Journal of Financial and Quantitative Analysis 51 (5), 1637-1662, 2016
Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5
B Chakrabarty, PK Jain, A Shkilko, K Sokolov
Management Science, forthcoming, 2019
Do Brokers of Insiders Tip Other Clients?
WJ McNally, A Shkilko, BF Smith
Management Science, 2017
Insider trading under the microscope
A Shkilko
Manuscript, Wilfrid Laurier University, 2019
Competition in the market for the NYSE-listed securities after decimals
MA Goldstein, AV Shkilko, BF Van Ness, RA Van Ness
Review of Quantitative Finance and Accounting 35 (4), 371-391, 2010
Signaling Via Stock Splits: Evidence from Short Interest
F Perez, A Shkilko, T Tang
Working Paper, Wilfrid Laurier University, 2016
On the Effects of Continuous Trading
I Indriawan, R Pascual, A Shkilko
Available at SSRN 3707154, 2020
Catering through nominal share prices revisited
MF Perez, A Shkilko
Critical Finance Review, forthcoming, 2015
Factor Models for Binary Financial Data
MF Perez, A Shkilko, K Sokolov
Journal of Banking & Finance 61, S177-S188, 2015
The Conduits of Price Discovery: A Machine Learning Approach
A Kwan, R Philip, A Shkilko
Proceedings of Paris December 2020 Finance Meeting EUROFIDAI-ESSEC, 2020
Design report for the CSA pilot study on rebate prohibition (revised to address public comments)
K Malinova, A Park, A Shkilko
August, 2019
The market quality effects of the 2012 UMIR amendments to the short selling rules in Canada
R Riordan, A Shkilko
Working Paper, Investment Industry Regulatory Organization of Canada, 2014
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