Research

My research interests are in market microstructure, financial econometrics, and asset pricing. I have presented at several international conferences, and my research has won multiple best paper awards.

• The Cross-Section of Price Efficiency

  Abstract: Inventory management by market makers can result in quoted prices deviating from unobserved fundamental prices. In a setting where prices have a factor structure, optimal inventory management implies that pricing errors of different securities are positively correlated if they load on the same risk factors. Using a state space model, I obtain estimates of 1-minute pricing errors for a panel of 1500 US stocks for the period 2016 – 2022. Daily cross-sectional regressions of pricing error correlations reveal that pricing error correlations increase in the similarity of factor betas. Investigating the role of liquidity demand in addition to liquidity supply, my results show that ETF flows are associated with higher pricing error correlations.

• Who Knows? Information Differences Between Trader Types, with Albert J. Menkveld

  This paper has been awarded the best paper award in Investments and Asset Pricing at the FMA European Conference 2023 and the best paper award at the Derivative Markets Conference 2023 of the Auckland Centre for Financial Research and the Auckland University of Technology. It was a semi-finalist for the best paper award at the 2023 FMA Annual Meeting.

• Price Dislocations: Insights from Trade Repository Data, with Albert J. Menkveld and Shihao Yu

  This project was carried out within the Alberto Giovannini Programme for Data Science of the ESRB.