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 In an ex post equilibrium, agents do not change strategies after observing others' information. We use it to analyze welfare and optimal trading frequency.
Yihong Xia Best Paper Award, China International Conference in Finance, 2013
Finance Theory Group meeting (2013), Barcelona Information Workshop (2013), Econometrics Society Summer Meeting (2013), CICF (2013), SAET (2013)
(Previous title: Ex Post Equilibrium in Double Auctions of Divisible Assets)
A previous version of this paper, titled “Are CDS Auctions Biased?”, has a different model and some empirical results.
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), SAET (2013)
UNC-Duke Corporate Finance Conference (2013)
NBER Economics of Commodity Markets meeting (2013), AFA (2014)
o A dark pool can improve price discovery by concentrating informed traders on the exchange.
Forthcoming, Review of Financial Studies
First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
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)
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.