Assistant Professor of Finance
MIT Sloan School of Management
100 Main Street, E62-623
Cambridge, MA 02142
Phone: +1 (617)-253-2478 | Email: firstname.lastname@example.org
Asset Pricing, Financial Market Structure and Design
o A dark pool can improve price discovery by increasing the signal-to-noise ratio of the exchange order flow.
First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
Western Finance Association (2011), NBER Market Design Working Group Meeting (2011), SFS Cavalcade (2012)
o In an ex post equilibrium of a double auction, a bidder's strategy depends only on his private information, but is still optimal for all realizations of everyone else's private information.
ECB-Bank of England Workshop on Asset Pricing (2011), FIRS (2012), Econometric Society summer meeting (2012), SIAM (2012), NBER Asset Pricing meeting (2012), European Finance Association meeting (2012)
· Dynamic Information Asymmetry, Financing, and Investment Decisions, with Ilya Strebulaev and Pavel Zryumov, 2013. Coming soon
Review of Financial Studies (2012), 25(4): 1255-1285. SSRN Abstract
o Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.
Review of Financial Studies Young Researcher Prize, 2013
Presentation video of an earlier version at the Utah Winter Finance Conference (2011)
MTS Conference (2010), American Economic Association (2011), Utah Winter Finance Conference (2011)
Review of Asset Pricing Studies (2011), 1(1): 74-95. SSRN Abstract
o Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.
Best Paper Award, Review of Asset Pricing Studies, 2011-2012
o The no-arbitrage restriction alone does not help predict bond yields in Gaussian term structure models.