“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)
“Individual Investors and Volatility”, with David Sraer and David Thesmar, Journal of Finance, 66, 1369-1405; 2011.
“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.
“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