Bio

David Cimon is a Principal Researcher in the Financial Markets Department at the Bank of Canada. He is a financial economist whose primary research interests are in the field of financial market structure. Previously, he was an Assistant Professor of Finance at the Lazaridis School of Business & Economics at Wilfrid Laurier University. He received his Ph.D. in economics from the University of Toronto.


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Staff working papers

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

Staff Working Paper 2018-16 Michael Brolley, David A. Cimon
Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders.

Banking Regulation and Market Making

Staff Working Paper 2017-7 David A. Cimon, Corey Garriott
We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase.

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Journal publications

  • “Broker Routing Decisions in Limit Order Markets”, June 2021, Journal of Financial Markets
  • “Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays” (with Michael Brolley), December 2020, Journal of Financial and Quantitative Analysis
  • “Banking Regulation and Market Making” (with Corey Garriott), December 2019, Journal of Banking and Finance