Research

Research Interests:

Empirical Finance, Market Microstructure, Behavioral Finance, and  Financial Econometrics

Working Papers:


1. Competition between High-Frequency Traders, and Market Quality , WP 2013.

  • Presentations: Stern Microstructure Conference 2013 (SMC2013), European Finance Association 2014 (EFA, Lugano), New York University; IFABS2013, Nottingham University; IRMC2013, Copenhagen Business School; Stockholm University School of Business, the SHoF Finance Workshop, Stockholm School of Economics, and Robert H. Smith School of Business, University of Maryland, the University of Melbourne, European Central Bank, The University of Gothenburg, Paris Dauphine University, New Economic School, SUNY Stony Brook University, Erasmus School of Economics, Bank for International Settlements and VU Amsterdam.

2. The Bank-Sovereign Nexus across Borders (with B. Schwaab), WP 2015.

  • Presentations: Third BIS Research Network Meeting on Global Financial Interconnectedness; European Central Bank; GRETA 14th International Conference; SYRTO Conference on Systemic Risk

3. Sovereign to Corporate Risk Spillovers (with P. Augustin, H. Boustanifar and J. Schnitzler), WP 2015.

  • Presentations: Stockholm School of Economics, the BI-Norwegian Business School, the 2014 International Risk Management Conference, the Luxembourg Central Bank, and the Conference on the European Sovereign Debt Crisis in Monaco; IFABS Oxford Conference

4. Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off (with R. Tédongap), WP (2012).

  • Presentations: Harvard University Lunch Finance Seminar; MIT Finance Lunch Seminar; Maastricht University; Nordic Finance Network Research Workshop and SIFR Finance Workshop.

 

Work in Progress:

1. Trading in VGAS: A Natural Bubble Experiment
joint with Anders Anderson.

2. Tail Asymmetry and Expected Stock Returns

3. Biting the Hand That Feeds You: Effects of Embezzlement in Nonprofits
joint with Andreas Nilsson