In 2005, the Applied Probability Society initiated the annual Markov Lecture, to be delivered in the fall of each year at the INFORMS Annual Meeting. The intent is to both honor the associated speaker and to bring to the APS membership topical work of the highest calibre in our discipline. The Markov Lecturer is selected by the APS prize committee.
2021 Markov Lecturer
Adams Distinguished Professor of Management and Professor of Finance
Stanford University Graduate School of Business
2021 Markov Lecture Discussant
Analytics and Models for Regulation Chair
Title: Fragmenting Financial Markets
Abstract: This talk on financial market design addresses the costs (and sometimes the benefits) of fragmenting trade across multiple venues. Size discovery trading crosses buy and sell orders, with no bid-ask spread and no price impact, by exploiting the price determined on a separate exchange market. Although popular in practice, size discovery reduces the depth of exchange markets and, as modeled, worsens overall allocative efficiency. On the other hand, fragmenting trade in the same asset across multiple exchanges can improve allocative efficiency.
This talk draws from research with Samuel Antill, Daniel Chen, and Haoxiang Zhu.