WEFA, LLC Principals conduct studies of specific market structures to understand and measure the quantitative significance of key individual elements. Two examples of such work are studies performed with data supplied by FINRA for structured products and by the Federal Home Loan Banks Office of Finance for its debt auction process.
Financial Industry Regulatory Authority, Inc. (FINRA)
Federal Home Loan Banks Office of Finance
“Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets,” current working paper version: November 2014
“Financial Asset Demand is Elastic: Evidence from New Issues of Federal Home Loan Bank Debt,” Journal of Banking and Finance, 35, 3225–3239, 2011