Working papers
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The impact of risk cycles on business cycles: A historical view, with Jon Danielsson and Ilknur Zer (Review of Financial Studies, Forthcoming)
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​Risk Management Research Award 2022 European Financial Management Association
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Trader competition in fragmented markets: Liquidity supply versus picking-off risk, with Alejandro Bernales, Nicolás Garrido, Satchit Sagade, and Christian Westheide (Journal of Financial and Quantitative Analysis, Forthcoming)
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​Best Paper Award 2017 Asian Finance Association.
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Effects of Information Overload on Financial Markets: How Much Is Too Much?, with Alejandro Bernales and Ilknur Zer
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Alternative Execution Priority Rules in Dark Pools, with Alejandro Bernales, Daniel Ladley, Evangelos Litos
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Implied correlation and market returns, with Alejandro Bernales
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Publications
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The efficient IPO market hypothesis: Theory and evidence, with Kevin James (Journal of Financial and Quantitative Analysis, 2020)
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Learning from history: volatility and financial crises, with Jon Danielsson and Ilknur Zer. Review of Financial Studies, 2018
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Learning and forecasts about option returns through the volatility risk premium, with Alejandro Bernales and Xiaohua Chen. Journal of Economic Dynamics & Control, 2017
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Model risk of risk models, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Financial Stability, 2016
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Can we prove a bank guilty of creating systemic risk? A minority report, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Money Credit and Banking, 2016
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Relative liquidity and future volatility, with Piotr Fryzlewicz, Thorsten Rheinländer and Ilknur Zer. Journal of Financial Markets, 2015
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Competition, signaling and non-walking through the book: Effects on order choice, with Ilknur Zer. Journal of Banking & Finance, 2013