"Price Discovery Without Trading: Evidence from Limit Orders" - Forthcoming at the Journal of Finance, with Terrence Hendershott and Jonathan Brogaard.
"Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market" - Conditionally accepted at the Journal of Financial and Quantitative Analysis, with Heiko Hofer, Kathi Schlepper, and Andreas Schrimpf.
"The Effects of Uncertainty on Market Liquidity: Evidence from Hurricane Sandy" - Accepted at the Journal of Financial Economics, with Dominik Rehse, Nico Rottke and Joachim Zietz.
"High Frequency Trading and Extreme Price Movements" - Forthcoming at the Journal of Financial Economics, with Jonathan Brogaard, Allen Carrion, Thibault Moyaert, Andriy Shkilko and Konstantin Sokolov.
"High Frequency Trading and the 2008-09 Short Sale Ban" - Journal of Financial Economics 124 (1), 22-42, with Jonathan Brogaard and Terrence Hendershott.
"Trading Fast and Slow: Colocation and Market Quality" - Review of Financial Studies 28 (12), 3407-3443, with Jonathan Brogaard, with Björn Hagströmer, and Lars Norden.
"The Impact of Computerized Agents on Immediate Emotions, Overall Arousal and Bidding Behavior in Electronic Auctions" - Journal of the Association of Information Systems 16 (10), Article 2, with Marc Adam, and Timm Teubner.
"International Stock Market Comovement and News" - Journal of Financial Research 37 (4), 519-542, with Markus Hoechstoetter, Stefan Meyer and Andreas Storkenmaier.
"High-Frequency Trading and Price Discovery" - Review of Financial Studies 27 (8), 2267-2306, with Terrence Hendershott and Jonathan Brogaard.
- Presented at the 2013 AFA annual meeting.
"Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets" - Journal of Banking and Finance 37 (4), 1148-1159, with Andreas Storkenmaier, Martin Wagener and Sarah Zhang.
"Algorithmic Trading and the Market for Liquidity" - Journal of Financial and Quantitative Analysis 48 (4), 1001-1024, with Terrence Hendershott.
"Latency, Liquidity and Price Discovery" - Journal of Financial Markets 15 (4), 416-437, with Andreas Storkenmaier.
"Carbon Risk" - with Maximilian Goergen, Andrea Jacob, Martin Nerlinger, Martin Rohleder, and Marco Wilkens.
- To be presented at the 2018 European Finance Association Annual Meeting and 2019 American Economic Association Annual Meeting.
"A High-Frequency Analysis of Bitcoin Liquidity" with Alexander Brauneis, Roland Mestel, and Erik Theissen,
"Do Retail Traders Suffer from High Frequency Traders" - Submitted, with Andreas Park and Katya Malinova.
"Tweeting the Good News: Returns and Price Informativeness" with Mohamed al Guindy.
"Machine Learning Fundamental Value" with Evan Dudley and Saad Khan.
Permanent Working Paper
"Do Multilateral Trading Facilities Contribute to Market Quality?" with Andreas Storkenmaier and Martin Wagener.
"Discount-Zertiﬁkate an der Börse Stuttgart: Marktqualität und Preissetzung" (2010). Zeitschrift für das allgemeine Kreditwesen, 63(11), 38-42. with Martin Wagener, Frank Scheuble, and Christof Weinhardt.
Technology Oriented Research
"Price Efﬁciency in Futures and Spot Trading: The Role of Information Technology" Electronic Commerce Research and Applications 2010, 9(5), 400–409, with Martin Wagener, Dennis Kundisch, Fethi Rabhi, Philip Hermann, and Christof Weinhardt.
Conferences, Proceedings, and Lecture Notes
"Interactive Data: Technology and Cost of Capital" European Conference on Information Systems (ECIS) (2012). Proceedings, Paper 153, with Sarah Zhang and Christof Weinhardt.
"Participation, Feedback & Incentives in a Competitive Forecasting Community" International Conference on Information Systems (ICIS) (2011). Proceedings, Paper 16, with Florian Teschner, Athanasios Mazarakis, and Christof Weinhardt.
"Technology and Market Quality: The Case of High Frequency Trading" European Conference on Information Systems (ECIS) (2011). Proceedings, Paper 16, with Sarah Zhang.
"Mispricing and Exchange Market Systems: The Effect of Infrastructure Upgrades" 43rd Hawaii International Conference (HICSS) (2010). IEEE Computer Society, Proceedings, 259–269, with Dennis Kundisch, Fethi Rabhi, and Christof Weinhardt.
"System Latency in Linked Sport and Futures Markets" Lecture Notes in Business Information Processing (2009). 36, 231–245, with Martin Wagener.
"Know the Flow: Sentiment Extraction from Retail Order Flow Data" Lecture Notes in Business Information Processing (2009). 23, 31–46, with Matthias Burhardt.
"The Effect of Automated Trading on Market Quality: Evidence from the New York Stock Exchange" Lecture Notes in Business Information Processing (2009). 23, 11–30, with Andreas Storkenmaier.
"The Impact of Economic News on Information and Liquidity in Electronic Futures Trading" in: Information Management and Market Engineering: Vol II. Studies on eOrganisation and Market Engineering (2010). KIT Scientiﬁc Publishing, 37-54, with Andreas Storkenmaier, Rudi Studer and Christof Weinhardt.