Follow
Andriy Shkilko
Andriy Shkilko
Professor of Finance, Wilfrid Laurier University
Verified email at wlu.ca - Homepage
Title
Cited by
Cited by
Year
High-frequency trading and extreme price movements
J Brogaard, A Carrion, T Moyaert, R Riordan, A Shkilko, K Sokolov
Journal of Financial Economics 128, 253-265, 2018
2702018
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs
A Shkilko, K Sokolov
Journal of Finance 75, 2899-2927, 2020
1542020
Short Selling and Intraday Price Pressures
AV Shkilko, BF Van Ness, RA Van Ness
Financial Management 41, 345-370, 2012
122*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
1062012
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
94*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
90*2015
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
65*2013
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
59*2016
Nonstandard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
The Journal of Finance 79 (3), 2339-2390, 2024
522024
Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5
B Chakrabarty, PK Jain, A Shkilko, K Sokolov
Management Science 67, 1183–1198, 2019
49*2019
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
492008
Do Brokers of Insiders Tip Other Clients?
WJ McNally, A Shkilko, BF Smith
Management Science 63, 317-332, 2017
342017
On the effects of continuous trading
I Indriawan, R Pascual, A Shkilko
Available at SSRN 3707154, 2020
192020
Insider trading under the microscope
A Shkilko
Manuscript, Wilfrid Laurier University, 2019
192019
The retail execution quality landscape
AH Dyhrberg, A Shkilko, IM Werner
Fisher College of Business Working Paper 14, 2022
172022
The conduits of price discovery: A machine learning approach
A Kwan, R Philip, A Shkilko
EFA, 2021
122021
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
11*2010
Signaling Via Stock Splits: Evidence from Short Interest
F Perez, A Shkilko, T Tang
Working Paper, Wilfrid Laurier University, 2016
10*2016
Cross-subsidizing liquidity
S Foley, A Liu, K Malinova, A Park, A Shkilko
Technical report, Working Paper, Macquarie University, 2020
52020
Catering through nominal share prices revisited
MF Perez, A Shkilko
Critical Finance Review 6, 43-75, 2015
42015
The system can't perform the operation now. Try again later.
Articles 1–20