BARBARA RINDI

I teach to undergraduate, master, and Ph.D. students. I also act as supervisor for several Internal (IGIER) Internships where I introduce students to research.

I am an Associate Professor of Economics at Bocconi University, where I am a Fellow of the Innocenzo Gasparini Institute for Economics Research (IGIER) and of Baffi Carefin. My work has been published in a number of academic journals, including the Journal of Financial Economics, Management Science, the Review of Finance, and the Journal of Financial Intermediation. I co-authored The Microstructure of Financial Markets, a textbook published by Cambridge University. I am Associate Editor of the Journal of Financial Markets. I also act as supervisor for several Internal (IGIER) Internships where I introduce students to research.

Optimal Tick Size

We consider a model of a  limit order book and determine the optimal tick size set by a social planner who  maximizes the welfare of market participants. Our results show that when investors arrive sequentially and compete endogenously, providing liquidity by undercutting or queuing behind existing orders, the optimal tick size is a positive function of the asset value and a negative function of its liquidity. The policy implication of such findings is that the European tick size regime and the “Intelligent Ticks”  Nasdaq proposal dominate Reg. NMS Rule 612 that formalizes the tick size regime for the U.S. markets. 

Trading @ the Close 

In light of the growing concern of regulators about the substantial increase in closing auction volumes around the world, we find no evidence that increases in auction activity in Europe harm market quality during continuous trading. These results differ from findings in the US markets where a different type of closing auction mechanism is used. 

Information, Liquidity and Dynamic Limit Order Markets 

This paper includes a closed-form solution for a two-period model of the limit order book with asymmetric information, representing a significant step in the modeling of a limit order book with asymmetric information.

Research: SSRN Author page.

My research interests are on market microstructure, financial market regulation, and market design. My most recent papers are on modeling trading (limit order books) under asymmetric information, the relevance of trading frictions (tick size and trading fees), competition between lit and dark markets, and closing auction volumes.