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. I am co-managing editor of the Journal of Financial and Quantitative Analysis (JFQA) since Sept 1, 2021. I am visiting CEMFI in Madrid from January to June 2022.
- Inventory Management, Dealers’ Connections and Prices in OTC Markets Journal of Finance, 2021 (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). See Finance Theory Group Insights series for a digest.
- Is trading fast dangerous?, in Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges, 2019.
- There is a lively debate about a Consolidated Tape for European Capital Markets. See here. My paper with Giovanni Cespa: “Sale of price information by exchanges: Does it improve price discovery?, (Management Science, 2014) highlights the benefits of fast dissemination of post trade data (a fast consolidated tape) and reasons why trading platforms lack incentives to do so.