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I joined the Finance area of the Lazaridis School of Business and Economics at Laurier in 2015 following the completion of my PhD in Economics from the University of Toronto. I also hold an Honours Bachelor of Arts in Applied Economics and Mathematics and a Master of Arts in Economics from Queen’s University (at Kingston). My research focuses on the design and operation of securities markets. In recent years, my interests have focussed to innovations in financial markets: high-frequency trading, dark pools, speed bumps, and exchange access fees. Currently, I am exploring the areas of FinTech and the Economics of Cybersecurity.
I currently hold an Insight Development Grant from the Social Sciences and Humanities Research Council, joint with David Cimon (WLU). In 2011, I was invited to attend the 4th Nobel Laureates Meeting at Lindau as a member of the Canadian delegation of Young Economists.
My general research interests are in theoretical financial economics, with a focus on market microstructure. Recent projects focus on studies of financial market innovations, specifically maker-taker fees, dark trading, and high-frequency trading. Currently my interests lie in the area of FinTech and the impact of cyber risk on financial infrastructure. On-going projects include:
- Cyber Security and Ransomware in Financial Markets (with T. Ahnert, D. Cimon and R. Riordan).
- Liquidity Provision under Flat Commissions in a Maker-Taker World (with K. Malinova)
- Liquidity Provision in Decentralized Markets (with M. Zoican, A. Dyhrberg)
- 'Special Mention' for the 2021 FESE De La Vega Prize (with Marius Zoican), "Liquid Speed: A Micro-Burst Fee for Low-Latency Exchanges".
- SSHRC Insight Development Grant (with David A. Cimon), "Does it Pay to be Secure? Cyber Risk and the Competition for Clients in Financial Markets" ($37,652).
- SSHRC Connection Grant (with Andriy Shkliko), Bank of Canada - WLU Market Structure Workshop.
- SSHRC Insight Development Grant, "Financial Information Acquisition and Dissemination in a High Frequency World" ($53,242).
- 2014 NASDAQ OMX & CQA EFA Doctoral Tutorial Best Paper Prizes for "Price Improvement and Execution Risk in Lit and Dark Markets".
I am willing to supervise graduate students who are interested in working on topics in the area of financial economic theory and its applications. In past years, I have supervised graduate students in the MABE program for EC681, and PhD students in Finance. I also occasionally take on undergraduate students in Business (finance specialization), Economics, or Mathematics to assist with research projects.
- Brolley, M., and M. Zoican, On-Demand Fast Trading on Decentralized Exchanges, Finance Research Letters, forthcoming.
- Brolley, M., and M. Zoican, Liquid Speed: a Micro-Burst Fee for Low-Latency Exchanges, Journal of Financial Markets, forthcoming.
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Brolley, M., and K. Malinova, Informed Liquidity Provision in a Limit Order Market,
Journal of Financial Markets, 2021, 52 (January), 100566 [Lead Article]. - Brolley, M., and D. Cimon, Order Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays, Journal of Financial and Quantitative Analysis, 2020, 55(8), 2555-2587.
- Brolley, M., Price Improvement and Execution Risk in Lit and Dark Markets, Management Science, 2020, 66(2), 863-886.
MF763 - Econ & Quantitative Methods II - 2022-present
BU473 - Investments - 2021-Present
BU823 - Seminar in Financial Economics - 2019-present (odd years only)
BU393 - Financial Management II - 2015-2021
Contact Info:
Office location: LH4071
Office hours: Virtual, by appointment
Personal website: www.mikerostructure.com