Adrian Walton - Latest

• Central Bank Liquidity Facilities and Market Making

  Staff Working Paper 2022-9 David Cimon, Adrian Walton

  We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10

• Contagion in Dealer Networks

  Staff Working Paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton

  Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1, L14

• Speed Segmentation on Exchanges: Competition for Slow Flow

  Staff Working Paper 2018-3 Lisa Anderson, Emad Andrews, Baiju Devani, Michael Mueller, Adrian Walton

  In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G24

• What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?

  Staff Working Paper 2017-54 Jean-Sébastien Fontaine, James Pinnington, Adrian Walton

  We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1

• Retail Order Flow Segmentation

  Staff Working Paper 2016-20 Corey Garriott, Adrian Walton

  In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10