Working papers
-
Effects of Information Overload on Financial Markets: How Much Is Too Much?, with Alejandro Bernales and Ilknur Zer
-
Alternative Execution Priority Rules in Dark Pools, with Alejandro Bernales, Daniel Ladley, Evangelos Litos
-
Implied correlation and market returns, with Alejandro Bernales
Publications
-
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, 2023)
-
Best Paper Award 2017 Asian Finance Association.
-
-
-
The impact of risk cycles on business cycles: A historical view, with Jon Danielsson and Ilknur Zer (Review of Financial Studies, 2022)
-
Risk Management Research Award 2022 European Financial Management Association
-
-
-
The efficient IPO market hypothesis: Theory and evidence, with Kevin James (Journal of Financial and Quantitative Analysis, 2020)
-
Learning from history: volatility and financial crises, with Jon Danielsson and Ilknur Zer. Review of Financial Studies, 2018
-
Learning and forecasts about option returns through the volatility risk premium, with Alejandro Bernales and Xiaohua Chen. Journal of Economic Dynamics & Control, 2017
-
Model risk of risk models, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Financial Stability, 2016
-
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
-
Relative liquidity and future volatility, with Piotr Fryzlewicz, Thorsten Rheinländer and Ilknur Zer. Journal of Financial Markets, 2015
-
Competition, signaling and non-walking through the book: Effects on order choice, with Ilknur Zer. Journal of Banking & Finance, 2013