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Ryan Riordan

Associate Professor & Distinguished Professor of Finance Director of Research, Institute for Sustainable Finance

The Smith School of Business, Queen's University

Biography

Ryan Riordan studies the use of technology in financial markets, and more recently the role climate risks play in asset prices. At the Smith School of Business, he is an Associate Professor and Distinguished Professor of Finance, as well as the Director of Research of the Institute for Sustainable Finance.

Ryan was the 2019 recipient of the Bank of Canada Governor’s Award. His work has been published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Banking and Finance, and the Journal of the Association of Information Systems. His work has won awards such as the Michael J. Brennan Award for the best paper published in the Review of Financial Studies, and the Philip Brown Prize for the best paper published using Sirca data.

Interests

  • Technology in financial markets
  • Sustainable finance
  • High-frequency trading

Education

  • PhD in Business, 2009

    Karlsruhe Institutue of Technology (KIT)

  • Master of Business Administration, 2005

    Sprott School of Business, Carleton University

  • Bachelor of Commerce, 2004

    Sprott School of Business, Carleton University

Recent Publications

Price discovery without trading: Evidence from limit orders

We analyze the contribution to price discovery of market and limit orders by high‐frequency traders (HFTs) and non‐HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes in HFTs’ behavior. Consistent with adverse selection arising from faster reactions to public information, HFTs’ informational advantage is partially explained by public information.

The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale, and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely published evacuation zone of New York City prior to landfall. We find relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.

High frequency trading and extreme price movements

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type—high frequency traders (HFTs)—around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little evidence of HFTs causing EPMs.

High frequency trading and the 2008 short-sale ban

We examine the effects of high-frequency traders (HFTs) on liquidity using the September 2008 short sale-ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs, we use an instrumental variables approach exploiting differences in the ban’s cross-sectional impact on HFTs and non-HFTs. Non-HFTs’ short selling improves liquidity, as measured by bid-ask spreads. HFTs’ short selling has the opposite effect by adversely selecting limit orders, which can decrease liquidity supplier competition and reduce trading by non-HFTs. The results highlight that some HFTs’ activities are harmful to liquidity during the extremely volatile short-sale ban period.

Recent Presentations

Carbon Risk

We construct a carbon risk factor for 1,600 global firms with carbon risk data from four major ESG databases.

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