Michael Brolley

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) 
• Retail Margin Trading (with D. Cimon)  

• '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". 

• Brolley, M., and M. Zoican, Liquid Speed: a Micro-Burst Fee for Low-Latency Exchanges, Journal of Financial Markets, 2023, 64 (June), 100785. 
• Brolley, M., and M. Zoican, On-Demand Fast Trading on Decentralized Exchanges, Finance Research Letters, 2023, 51 (January), 103350.

• 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.