Dr. Andriy Shkilko
Associate Professor (Finance); Canada Research Chair in Financial Markets
Contact InformationEmail: firstname.lastname@example.org
Phone: 519.884.0710 ext.2462
Office Location: SBE3255
Office Hours: by appointment
Andriy Shkilko's research focuses on securities trading and financial markets. He studies competition among equity and options exchanges, information dissemination, price pressures, institutional trading, insider trading, short selling, and trade classification. In the area of corporate finance, Andriy has worked on issues of signalling and catering.
His research has received awards from the Ontario Ministry of Research and Innovation, the American Association of Individual Investors, Toronto CFA Society and Hillsdale Investment Management, the RS-DeGroote Conference on Market Structure and Market Integrity, from the Mid-Atlantic Research Conference in Finance, and twice from the Eastern Finance Association. Andriy holds a grant from the Canada Research Chairs Program and from the Canada Foundation for Innovation. He has also held three research grants from the Social Sciences and Humanities Research Council of Canada (SSHRC) and a grant from the NASDAQ Educational Foundation.
Andriy serves as an associate editor of the Financial Review and has edited a special issue on short selling for the International Journal of Managerial Finance. He has chaired the Market Structure track for the Mid-Atlantic Research Conference in Finance (MARC) and has twice co-chaired the Investments track for the Eastern Finance Association annual meetings.
Andriy’s engagements outside the university include consulting work for the governments of Canada, the United Kingdom, and the provinces of British Columbia, New Brunswick, and Ontario.
To pay or to be paid? The impact of taker fees and order flow inducements on trading costs in the U.S. options markets, with R. Battalio and R. Van Ness, 2015, Journal of Financial and Quantitative Analysis, forthcoming
Do brokers of insiders tip other clients? with W. McNally and B. Smith, 2015, Management Science, forthcoming
Catering through nominal share prices revisited, with F. Perez, 2015, Critical Finance Review, forthcoming
Evaluating trade classification algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready algorithm, with B. Chakrabarty and R. Pascual, 2015, Journal of Financial Markets 25, 52-79
Factor models for binary financial data, with F. Perez and K. Sokolov, 2015, Journal of Banking and Finance 61, S177-S188
Information transfers and learning in financial markets: Evidence from short selling around insider sales, with B. Chakrabarty, 2013, Journal of Banking and Finance 37, 1560-1572
Short sales, long sales, and the Lee-Ready trade classification algorithm revisited, with B. Chakrabarty and P. Moulton, 2012, Journal of Financial Markets 15, 467-491.
Short selling and intraday price pressures, with B. Van Ness and R. Van Ness, 2012, Financial Management 41, 345-370.
Locked and crossed markets on NASDAQ and the NYSE, with B. Van Ness and R. Van Ness, 2008, Journal of Financial Markets 11, 308-337.
Competition in the market for NASDAQ securities, with M. Goldstein, B. Van Ness, and R. Van Ness, 2008, Journal of Financial Markets 11, 113-143.