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“Corporate Strategy, conformism, and the stock market” with Laurent Frésard. Accepted for publication in the Review of Financial Studies.
“Data Abundance and Asset Price Informativeness”, with Jérôme Dugast, Forthcoming in the Journal of Financial Economics.
“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
An executive summary of our paper published in the Center for the Study of Financial Regulation
Abstract: Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs’ response to these should impair liquidity. We provide supporting evidence using data on triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and arbitrageurs’ relative speed are higher. Overall, our findings suggest that the price efficiency gain of high frequency arbitrage comes at the cost of increased adverse selection risk.
“News Trading and Speed” with Johan Hombert and Ioanid Rosu. , 71, 335-382, 2016. Journal of Finance
“Equilibrium Fast Trading”, with Bruno Biais and Sophie Moinas, 116, 292-313, 2015. Journal of Financial Economics,
“Illiquidity Contagion and Liquidity Crashes”, with Giovani Cespa, , 27, June 2014. Review of Financial Studies
“Learning from Peers’ stock prices and corporate investment”, with Laurent Fresard, 111, 554-577, Journal of Financial Economics 2014.
“Sale of price information by exchanges: does it promote price discovery?”, with Giovanni Cespa , 148-165, January 2014 Management Science 60
“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
“Does Anonymity Matter in Electronic Limit Order Markets?”, with Sophie Moinas and Erik Theissen, 20, 1707-1747; Winter 2007. Review of Financial Studies,
“Limit Order Book as a Market for Liquidity”, with Ohad Kadan and Eugene Kandel, 18, 1171-1217 Review of Financial Studies, ; Winter 2005.
“Reputation-Based Pricing and Price Improvements”, with Gabriel Desgranges, », 493-527 Journal of Economics and Business, 57, , 2005.
“Competition For listings”, with Christine Parlour, RAND Journal of Economics, 35, 329-355; 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
“Information Sharing, Liquidity and Transaction Costs in Floor-Based Trading Systems”, with Laurence Lescourret
“Equity Trading Systems in Europe: A survey of the Recent Changes”, with M. Demarchi
Annales d’Economie et Statistiques, Octobre/Décembre 2000. Paper Available here:
“Minimum Price Variations, Time Priority and Quote Dynamics”, with Tito Cordella, », , 8, 141-173; July 1999. Journal of Financial Intermediation
“Order Flow Composition and Trading Cost in a Dynamic Limit Order Market,” 99-134 Journal of Financial Markets, 2, ; May 1999.
“Floors, Dealer Markets and Limit Order Markets”, with Bruno Biais and François Salanié, 523-584; October 1998. Journal of Financial Markets, 1,
“Marchés Financiers et Asymétries d’Information: Une Revue de la Littérature Recente”, with B. Biais
Actualité Economique, 1994