“Toxic Arbitrage”, with Roman Kozhan and Wing Wah Tham. Review of Financial Studies 30, 1053-1094, 2017.
- Evidence that high speed arbitrage can raise illiquidity by exposing liquidity suppliers to the risk of trading at stale quotes .
- Published version, Latest draft available (SSRN), Slides, Internet Appendix, An executive summary of our paper published in the Center for the Study of Financial Regulation
“News Trading and Speed” with Johan Hombert and Ioanid Rosu. Journal of Finance, 71, 335-382, 2016.
- Predicts that high frequency news traders should place market orders highly correlated with short term returns and yet realize a significant fraction of their profits over longer time intervals.
- Published version, Latest draft available (SSRN), On-line appendix, Slides
“Equilibrium Fast Trading”, with Bruno Biais and Sophie Moinas, Journal of Financial Economics, 116, 292-313, 2015.
- Provides an economic rationale for taxing investment in fast trading technologies rather than slowing down markets.
- Published version, Latest draft available (SSRN), On-lineAppendix, Slides
“Market Making with Costly Monitoring: An Analysis of the SOES Controversy”, with Patrik Sandas and Ailsa Roell, Review of Financial Studies, 16, 345-384; 2003
- Published in Review of Financial Studies, 2003.