Working Papers

  • Equilibrium Data Mining and Data Abundance”, with Jérôme Dugast.  Revised January 2022.

    • Latest draft (SSRN): here; Slides: here; Online Appendix: Here.
    • Abstract: We propose a new theory of information production in financial markets. In this theory, speculators search for new predictors of asset payoffs and optimally decide to trade on predictors whose signal-to-noise ratio exceeds an endogenous threshold. We use the model to derive predictions regarding the effects of progress in information technologies on quantitative asset managers’ performance, the similarity of their holdings, and the informativeness of asset prices. We show that data abundance (an expansion of the search space for predictors due to greater data diversity) and greater data processing power do not have the same effects.
  • Does Alternative Data Improve Financial Forecasting? The horizon effect”, with Olivier Dessaint and Laurent Frésard. Revised July 2021.

    • Latest draft (SSRN): Here; Online Appendix: Here; Slides: Here
    • Abstract: We analyze the effect of alternative data on the informativeness of financial forecasts. Our hypothesis is that the emergence of alternative data increases the net benefit of collecting short-term information about firms’ cash flows more than the benefit of collecting long-term information. If this hypothesis is correct, and forecasting short-term and long-term cash flows are distinct tasks, alternative data should make short-term forecasts more informative but long-term forecasts less so. We confirm this prediction empirically for sell-side equity analysts’ forecasts using a new measure of forecast informativeness at various horizons.
  • “Inventory Management, Dealers’ Connections and Prices in OTC Markets” with Jean-Edouard Colliard and Peter Hoffman. Last revised: May 2020. Forthcoming in the Journal of Finance.

    • Predicts that the distribution of aggregate inventories between core and peripheral dealers affect the distribution of transaction prices and bid-ask spreads in OTC markets.
    • Latest draft (SSRN) available here; Online appendix available here; Slides
    • Abstract: “We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers have access to a more efficient trading technology than peripheral dealers, who are heterogeneously connected to core dealers and trade with each other bilaterally. Connectedness affects prices and allocations if and only if the peripheral dealers’ aggregate inventory position differs from zero. The resulting price dispersion increases in the size of this position. The model generates new predictions about the joint effects of peripheral dealers’ connectedness and dealers’ aggregate inventories on transaction prices, both among dealers and between dealers and their clients.”

Old working papers

  • “Linkage Principle, Multidimensional Signals and Blind Auctions”,  with Stefano Lovo, 2004 (draft on SSRN)
  • “Price formation and order placement strategies in a dynamic order driven markets”, 1995 (draft)