“Demand for information, uncertainty and the response of U.S. treasury securities to news”, with Hedi Benamar and Clara Vega. Review of Financial Studies.
- Shows that information demand is high when macro-economic uncertainty is high and proposes a new way to measure uncertainty using clickstream data.
- Published version, Latest draft available (SSRN), Slides.
“Noisy Stock Prices and Corporate Investment” with Olivier Dessaint, Laurent Frésard, and Adrien Matray. Review of Financial Studies.
- Shows that non fundamental shocks to firms’ stock prices affects corporate investment because managers use stock prices a signals and have limited ability to filter out the noise in these signals
- Advance Access at the Review of Financial Studies, Latest draft available (SSRN). On-line Appendix, Slides, Vox article on our paper
“Corporate Strategy, conformism, and the stock market” with Laurent Frésard. Review of Financial Studies.
- Predicts and find evidence that firms are more likely to imitate their peers when they rely on stock prices as a source of information.
- Published version. Latest draft available (SSRN), Slides, On-line appendix, Vox article on our paper
“Data Abundance and Asset Price Informativeness”, with Jérôme Dugast. Journal of Financial Economics.
- Predicts that a decrease in the cost of access to information (“data abundance”) can reduce asset price informativeness
- Published version, Latest draft available (SSRN), Slides, On-line appendix
“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
“Illiquidity Contagion and Liquidity Crashes”, with Giovani Cespa, Review of Financial Studies, 27, June 2014 (Lead article).
- Published version, Latest draft available (SSRN), The Economist‘s article (“Buttownwood”) on our paper, A reference to our paper during a hearing at the U.S. congress on the Flash Crash (link), A summary of our paper on Finance and Accounting Memos (link)
“Learning from Peers’ stock prices and corporate investment”, with Laurent Fresard, Journal of Financial Economics 111, 554-577, 2014.
“Sale of price information by exchanges: does it promote price discovery?”, with Giovanni Cespa Management Science 60, 148-165, January 2014
“Liquidity Cycles, and Make/Take Fees in Electronic Markets”, with Ohad Kadan, and Eugene Kandel, Journal of Finance 68, 299-341. 2013
“Cross-listings, Investment-to-Price Sensitivity and the Learning Hypothesis”, with Laurent Fresard,Review of Financial Studies, 25, 3305-3350; 2012.
“Trading fees and efficiency in limit order markets”, with Jean Edouard Colliard, Review of Financial Studies, 25, 3389-3421; 2012.
“Individual Investors and Volatility”, with David Sraer and David Thesmar, Journal of Finance, 66, 1369-1405; 2011.
“Cross-Listing, Stock Price Informativeness and Investment Decisions”, with Thomas Gehrig, Journal of Financial Economics, 88, 146-168; 2008.
“Competition for Order Flow and Smart Order Routing Systems”, with Albert Menkveld, Journal of Finance, 63, 119-158, 2008
- Published version : [This is an electronic version of an article published in Journal of Finance complete citation information for the final version of the paper, as published in the print edition of Journal of Finance, is available on the Blackwell Synergy online delivery service, accessible via the journal’s website at http://www.blackwellpublishing.com/journals/jofi or http://www.blackwell-synergy.com.)]
“Does Anonymity Matter in Electronic Limit Order Markets?”, with Sophie Moinas and Erik Theissen, Review of Financial Studies, 20, 1707-1747; Winter 2007.
- Published in Review of Financial Studies , Fall 2007.
“Limit Order Book as a Market for Liquidity”, with Ohad Kadan and Eugene Kandel, Review of Financial Studies, 18, 1171-1217; Winter 2005.
- Published in Review of Financial Studies , 18, n°4, 2005.
- Appendix with proofs for robustness section of the paper
“Reputation-Based Pricing and Price Improvements”, with Gabriel Desgranges, », Journal of Economics and Business, 57, 493-527, 2005.
- Published in Journal of Economics and Business , 2005, 57, 493-527.
- Published version available here
“Competition For listings”, with Christine Parlour, RAND Journal of Economics, 35, 329-355; Summer 2004.
- Published in RAND Journal of Economics, Summer 2004
“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.
“Information Sharing, Liquidity and Transaction Costs in Floor-Based Trading Systems”, with Laurence Lescourret
- Published in Finance, December 2003
- Paper available here: Information sharing
“Equity Trading Systems in Europe: A survey of the Recent Changes”, with M. Demarchi
- Published in Annales d’Economie et Statistiques, Octobre/Décembre 2000.
- Paper Available here: aecodemarchifoucault
“Minimum Price Variations, Time Priority and Quote Dynamics”, with Tito Cordella, », Journal of Financial Intermediation, 8, 141-173; July 1999.
- Published in Journal of Financial Intermediation, 1999
“Order Flow Composition and Trading Cost in a Dynamic Limit Order Market,” Journal of Financial Markets, 2, 99-134; May 1999.
- Published in Journal of Financial Markets, 1999
“Floors, Dealer Markets and Limit Order Markets”, with Bruno Biais and François Salanié, Journal of Financial Markets, 1, 523-584; October 1998.
- Published in Journal of Financial Markets,1998
“Marchés Financiers et Asymétries d’Information: Une Revue de la Littérature Recente”, with B. Biais
- Published in Actualité Economique, 1994