I work on the determinants of financial markets liquidity and informativeness, the industrial organization of these markets, and their effect on the real economy. My most recent papers are on Big Data and new trading technologies, OTC markets, and the effects of stock markets on firms’ decisions (investment, product choices etc.). In 2021, I received a European Research Council (ERC) Advanced Grant for a five years research project on the impact of Big Data and Artificial Intelligence on financial markets and corporate investment.
Some of my recent published works:
- Inventory Management, Dealers’ Connections and Prices in OTC Markets Forthcoming in the Journal of Finance (with JE Colliard and P.Hoffman).
- Demand for information, uncertainty and the response of U.S. treasury securities to news, Review of Financial Studies, 2020 (with H.Benamar and C.Vega).
- Noisy Stock Prices and Corporate Investment Review of Financial Studies, 2019 (with O.Dessaint, A.Matray and L.Fresard).
- Corporate Strategy, conformism, and the stock market Review of Financial Studies, 2018 (with L.Frésard).
- Data Abundance and Asset Price Informativeness, Journal of Financial Economics, 2018 (with J.Dugast).
- Is trading fast dangerous?, in Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges, 2019.
16th Annual Central Bank Conference on the Microstructure of Financial Markets, October 2021: More information here.
I am co-editor of the Review of Asset Pricing Studies. We recently published a special issue on the Covid 19 pandemics and financial markets with a contribution from Lars Peter Hansen. Papers from this issue can be accessed for free here.