Andriy Shkilko

My research examines securities trading and the structure of financial markets. At its core, it seeks to understand if securities markets operate efficiently and in ways that serve the broader interests of society. My research has been published in leading academic journals, including the Journal of Finance, Journal of Financial Economics, Management Science, and Journal of Financial and Quantitative Analysis, among others.

Over the years, my work has been supported by numerous organizations, including the Canadian Derivatives Institute, Canada Foundation for Innovation, Canada Research Chairs program, Nasdaq Educational Foundation, Ontario Ministry of Research and Innovation, Ontario Research Fund, Ontario Securities Commission, and the Social Sciences and Humanities Research Council of Canada.

Beyond the university setting, I have engaged in collaborative work with financial regulators in Canada, the United Kingdom, and the United States, as well as with various industry organizations and market participants.

In parallel with my own research, I serve as an organizer of The Microstructure Exchange, a global online seminar series that features leading researchers presenting cutting-edge work on market structure. The series aims to promote collaboration and knowledge exchange among academics, industry practitioners, and regulators worldwide.

• Financial markets
• Securities trading
• Market regulation
• Information dissemination
• Individual (retail) investors
• Algorithmic and high-frequency trading
• Insider trading
• Market innovation

Working Papers

• The conduits of price discovery, with A. Kwan and R. Philip, R&R Review of Financial Studies
• Who benefits from securities exchange innovation? with K. Sokolov and E. Yelagin, R&R Review of Finance
• On the effects of continuous trading, with I. Indriawan and R. Pascual
• Seasonalities in liquidity and price discovery, with M. Kamstra and L. Kramer
• Nocturnal trading, with G. Eaton and I. Werner
• Cross-subsidization of liquidity, with S. Foley, A. Liu, K. Malinova and A. Park
• Multi-asset market making, with I. Roşu, E. Sojli and W. W. Tham

Journal Articles

• The retail execution quality landscape, with A. Dyhrberg and I. Werner, 2025, Journal of Financial Economics 126, 104051
• Unfiltered market access and liquidity: Evidence from the SEC Rule 15c3-5, with B. Chakrabarty, P. K. Jain and K. Sokolov, 2021, Management Science 67, 1183–1198
• Every cloud has a silver lining: Fast trading, microwave connectivity and trading costs, with K. Sokolov, 2020, Journal of Finance 75, 2899-2927
• High frequency trading and extreme price movements, with J. Brogaard, A. Carrion, T. Moyaert, R. Riordan and K. Sokolov, 2018, Journal of Financial Economics 128, 253-265
• Do brokers of insiders tip other clients? with W. McNally and B. Smith, 2017, Management Science 63, 317-332
• To pay or be paid? The impact of taker fees and order flow inducements on trading costs in U.S. options markets, with R. Battalio and R. Van Ness, 2016, Journal of Financial and Quantitative Analysis 51, 1637-1662

• Spanish Finance Association 2022 Best Paper on Equity Markets
• Journal of Finance 2020 Dimensional Fund Advisors First Prize
• SIX Swiss Exchange 2017 Best Paper Award
• Northern Finance Association 2016 Best Paper on Market Microstructure
• Auckland Finance Meeting 2015 Best Paper Award
• Midwest Finance Association 2014 Outstanding Paper in Investments
• Mid-Atlantic Research Conference in Finance 2012 Best Paper
• Toronto CFA Society 2012 Canadian Investment Research Award
• Market Regulation Services-DeGroote 2007 Best Paper Award
• Eastern Finance Association 2007 Outstanding Paper in Derivatives and Microstructure