Professor in Finance & Operations and Information Technology Management
Cheryl and Christian Valentine Chair
Haas School of Business
University of California at Berkeley
hender AT haas.berkeley.edu 510 643-0619
Click on the title below to
download an Acrobat (pdf) file of the paper. Click here for my cv; which lists the various awards my papers have won.
Here for my google
- Are Institutions
Informed about News? (with Dmitry Livdan and
Norman Schürhoff), Journal of Financial Economics, forthcoming.
- Click or Call?
Auction versus Search in the Over-the-Counter Market (with Ananth
Madhavan), Journal of Finance 70 (February 2015), 419-447.
- Price Pressures
(with Albert Menkveld), Journal of Financial Economics 114 (December 2014), 405-423.
- High Frequency Trading and
Price Discovery (with Jonathan Brogaard and Ryan Riordan), Review
of Financial Studies 27
(August 2014), 2267-2306.
- How Slow
is the NBBO? A Comparison with Direct Exchange Feeds (with Shengwei
Ding and John Hanna), Financial Review 49 (May 2014), 313-332. Online
- High-Frequency Trading and
the Execution Costs of Institutional Investors (with Jonathan
Brogaard, Stefan Hunt, and Carla Ysusi), Financial Review 49 (May 2014), 345-369.
- Levelling the Trading
Field (with David Easley and Tarun Ramadorai), Journal of Financial
Markets 17 (January 2014),
65-93. Related photos.
- Algorithmic Trading and
the Market for Liquidity (with
Ryan Riordan), Journal of Financial and Quantitative Analysis 48 (August 2013), 1001-1024; this
expands on a subset of the results in Algorithmic
Trading and Information.
- The Intended and
Collateral Effects of Short-Sale Bans as a Regulatory Tool (with Ethan
Namvar and Blake Phillips),
Journal of Investment Management 11 (2013), 5–13.
Trading and Portfolio Returns (with Alex Boulatov and Dmitry Livdan), Review
of Economic Studies 80 (January 2013), 35-72. Internet Appendix.
- Automation, Speed, and Stock
Market Quality: The NYSE’s Hybrid (with Pam Moulton), Journal of
Financial Markets 14
(November 2011), 568-604. Hybrid Phase III activation list. Sample with
Nasdaq matches used in paper.
- Does Algorithmic Trading
Improve Liquidity? (with Charles Jones and
Albert Menkveld), Journal of Finance 66 (February 2011), 1-33. Autoquote activation list.
The exact underlying message data used in the paper came from the NYSE and
cannot be redistributed. However, data allowing for calculation of related
measures of algorithmic trading are available in TAQ (for inside quote
changes) and internationally (and for more levels of the order book) from http://sirca.org.au/. Internet
- Time Variation in
Liquidity: The Role of Market Maker Inventories and Revenues (with
Carole Comerton-Forde, Charles Jones, Pam Moulton, and Mark Seasholes), Journal
of Finance 65 (February 2010), 295-331. Internet
- The NFL Should Auction
Possession in Overtime Games (with Yeon-Koo Che), Economists’ Voice 9 (October 2009), http://www.bepress.com/ev/vol6/iss9/art5/.
- A Comparison
of Trading and Non-Trading Mechanisms for Price Discovery (with
Michael Barclay), Journal of Empirical Finance 15 (December 2008),
- How to Divide the Possession of a
Football? (with Yeon-Koo Che), Economics Letters 99 (June 2008),
561-565. See Other below for popular press
writing on this topic.
- Order Consolidation, Price
Efficiency, and Extreme Liquidity Shocks (with Michael Barclay and
Charles Jones), Journal of Financial and Quantitative Analysis 43 (March 2008), 93-121.
- Market Maker
Inventories and Stock Prices (with Mark
Economic Review (P&P) 97 (May 2007), 210-214.
- Automation versus
Intermediation: Evidence from Treasuries Going Off the Run (with
Michael Barclay and Kenneth Kotz), Journal of Finance 61 (October
- A Model of Direct and
Intermediated Sales (with Jie Zhang), Journal of Economics & Management
Strategy 15 (Summer 2006), 279-316.
- Island Goes Dark:
Transparency, Fragmentation, and Regulation (with Charles Jones), Review
of Financial Studies 18
(Fall 2005), 743-793.
- Trade Through
Prohibitions and Market Quality (with Charles Jones), Journal of
Financial Markets 8 (February
Externalities and Adverse Selection: Evidence from Trading After Hours
(with Michael Barclay), Journal of Finance 59 (April 2004), 681-710.
Discovery and Trading After Hours (with Michael Barclay), Review of
Financial Studies 16 (Winter 2003), 1041-1073.
- Competition Among Trading
Venues: Information and Trading on Electronic Communications Networks
(with Michael Barclay and Tim McCormick), Journal of Finance 58
(December 2003), 2637-2666.
- Electronic Trading Systems in
Financial Markets, IEEE-IT Professional
5 (Jul/Aug 2003), 10-14.
- The Future of Virtual
Malls (with Patric Hendershott and Robert
Hendershott), Real Estate Finance 18 (Spring 2001), 25-32.
- Crossing Networks and Dealer
Markets: Competition and Performance (with Haim Mendelson), Journal
of Finance 55 (October 2000), 2071-2115.
and Optimal Auctions of Multiple Products (with Christopher Avery), Review
of Economic Studies 67 (July 2000), 483-497.
- Will the Internet
Reduce the Demand for Mall Space? (with Patric
Hendershott and Robert Hendershott), Real Estate Finance 17 (Spring
- Automated Trading,
Encyclopedia of Quantitative Finance.
- An Economic
View of Information Systems (with Krishnan Anand), Introduction to a
Special Issue on Information Systems and Economics, Decision Support
Systems (May 2006), 683-687.
- Preface to the Focus Theme
Section: 'Financial Market Engineering' (with Dirk Neumann, Robert
Schwartz, Bruce Weber, and Christof Weinhardt), Electronic
Markets 16 (May 2006), 98-100.
- Some thoughts
on financial market regulation and the SEC’s proposed Regulation NMS
(published as an op-ed/commentary in the Financial Times on July
- Should the Outcome of a Coin
Flip Mean So Much in NFL Overtime? Bid for the Ball (with Jonathan
Berk), Wall Street Journal Online,
December 22, 2003. Written about by Tim Harford in Slate: http://www.slate.com/id/2209436/; if the Slate
link breaks click here.
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