Michael Brolley - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:52:37+00:00Cyber Risk and Security Investment
https://www.bankofcanada.ca/2022/07/staff-working-paper-2022-32/
We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged.2022-07-14T12:03:41+00:00enCyber Risk and Security Investment2022-07-14Economic modelsFinancial servicesFinancial stabilityFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2022-32https://www.bankofcanada.ca/wp-content/uploads/2022/07/swp2022-32.pdfCyber Security and Ransomware in Financial MarketsToni AhnertMichael BrolleyDavid CimonRyan RiordanJuly 2022DD7D78D8D81GG1G18G2G21G23Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays
https://www.bankofcanada.ca/2018/04/staff-working-paper-2018-16/
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.2018-04-05T09:00:37+00:00enOrder Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays2018-04-05Financial marketsFinancial system regulation and policiesMarket structure and pricingOrder Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delayshttps://www.bankofcanada.ca/wp-content/uploads/2018/04/swp2018-16.pdfOrder Flow Segmentation, Liquidity and Price Discovery: The Role of Latency DelaysMichael BrolleyDavid CimonApril 2018GG1G14G18