Trading mechanisms

“Illiquidity Contagion and Liquidity Crashes”,  with Giovani Cespa, Review of Financial Studies, 27, June 2014 (Lead article).

“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.

“Limit Order Book as a Market for Liquidity”, with Ohad Kadan and Eugene Kandel,  Review of Financial Studies, 18, 1171-1217; Winter 2005.

“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

“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.

“Order Flow Composition and Trading Cost in a Dynamic Limit Order Market,” Journal of Financial Markets, 2, 99-134; May 1999.

“Floors, Dealer Markets and Limit Order Markets”, with Bruno Biais and François Salanié, Journal of  Financial Markets, 1, 523-584; October 1998.

“Marchés Financiers et Asymétries d’Information: Une Revue de la Littérature Recente”, with B. Biais

  • Published in Actualité Economique, 1994