My research studies how participants in financial markets act and influence price action and order flows. I am especially interested in measuring and explaining variations in liquidity within and across markets. My current studies use high-frequency data from equity, options, and futures markets.
I enjoy interdiciplinary research, using ideas from other fields to study financial markets. The fields of computing Science, Mathematics, Statistics, and Physics are particularily rich in quantitive techniques that can be combined with economic theory to provide new insights into established problems.
Liquidity refers to the ability to easily buy or sell a security without causing a significant change in the market price. Finance theory often assumes perfect market liquidity where market participants can trade any amount of a security without affecting the price. This assumption, while false, is usually thought to be a reasonable simplification in large and active markets. However, in my Master’s thesis, I found that even in the crude oil futures market, which is the world’s most liquid market for trading crude oil which is itself the world's most actively traded physical commodity, there are occasions where liquidity dries up because of unstable market structures that arise because of regularities observed among traders. I'm now studying liquidity effects in equity and options markets, as well as futures markets, both within particular markets and across multiple markets. Selected relevant papers are:
So much textual information in available in our high-tech world, but quantitive methods for analysing such data are still in an early stage of development. I'll be taking Computing Science 825: Natural Language Processing this Spring to understand developments in this area and to find applications to economics and finance.