Courses a.y. 2024/2025

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.

Biographical note

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.


Non-Stationary vs. Stationary Equilibrium  in  Dynamic Limit Order Markets

We solve non-stationary and stationary models of a limit-order market to investigate time dynamics and the effects of adverse selection and path dependency on equilibrium strategies, market quality, welfare, and price discovery. These effects depend on volatility.  With high volatility, informed-investors act as speculators, and increased adverse selection improves market quality and the welfare of uninformed-investors who become the best liquidity providers. With low volatility, the informed act as market makers and crowd out the uninformed, and increased adverse selection reduces uninformed welfare despite improving market quality. Our analysis delivers new results on liquidity, order informativeness, welfare, and transmission mechanisms.


Optimal Tick Size

We use a model of a  limit order book to 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 supply 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 the stock liquidity. Intuitively, the tick size is a strategic tool a social planner uses to optimally affect investors' choice between liquidity demand and supply, thus mitigating the inefficiencies created by excessive undercutting and queuing.  The policy implication of such findings is that both the European tick size regime  and the 2022 SEC proposal dominate Reg. NMS Rule 612 that formalizes the tick size regime for the U.S. markets. Using data from the U.S. and the European markets we test our model's predictions.

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. 

Research interests

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.

Working papers

Riccò, Roberto; Rindi, Barbara; Seppi, Duane J.
Non-Stationary vs. Stationary Equilibrium in Dynamic Limit Order Markets

Graziani, Giuliano; Rindi, Barbara; Yueshen, Bart Zhou
Optimal Tick Size

Comerton-Forde, Carole; Rindi, Barbara
Trading @ The Close

Riccò, Roberto; Rindi, Barbara; Seppi; Duane J.
Optimal Fee Pricing

Panayides, Marios A.; Rindi, Barbara; Werner, Ingrid Margareta
Trading Fees and Intermarket Competition

Rindi, Barbara; Werner, Ingrid Margareta
U.S. Tick Size Pilot

Selected Publications

Buti, Sabrina; Rindi, Barbara; Wen, Yuanji; Werner, Ingrid
Tick Size, Trading Strategies and Market Quality
Management Science, 2022

Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M.
Diving into dark pools
Financial Management, 2022

Buti, Sabrina; Rindi, Barbara; Werner, Ingrid Margareta
Dark pool trading strategies, market quality and welfare
Journal of Financial Economics, 2017

Gozluklu, Arie Eskenazi; Perotti, Pietro; Rindi, Barbara; Fredella, Roberta
Lot size constraints and market quality: evidence from the Borsa Italiana
Financial Management, 2015

S. Buti; Rindi, Barbara
Undisclosed orders and optimal submission strategiesin a limit order market
Journal of Financial Economics, 2013

E. Kandel; Rindi, Barbara; Bosetti, Luisella
The Effect of a Closing Call Auction on Market Quality and Trading Strategies
Journal of Financial Intermediation, 2012

Rindi, Barbara; Perotti, Pietro
Market makers as information providers: The natural experiment of STAR
Journal of Empirical Finance, 2010

Rindi, Barbara
Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation
Review of Finance, 2008