Paper by: Jonathan Brogaard, James Brugler, and Dominik Roesch
Discussion by: Andreas Park
May 14, 2021
8th Annual Conference on Financial Market Regulation, 2021
And that's why people are upset:
When venue introduces data fees:
Methodology
Measures & Interpretation
Story & explanation
Odds-and-ends
One question: do they even have the free data?
Constraints
Example: Volume
Difference-in-difference vs marketwide structural shift?
E-Spread?
Well-argued paper with clear research question and credible answers ("it's not quite so easy to up the fees")
My suggestion: Focus on visible liquidity & broker routing and trim rest
@financeUTM
andreas.park@rotman.utoronto.ca
slides.com/ap248
sites.google.com/site/parkandreas/
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