Research interests

I am interested in the economics of securities trading and clearing in modern financial markets. Specifically I study the effects of new market structure (e.g., high frequency trading, fragmentation and FinTech) on market quality.

Working papers

Central Counterparty Exposure in Stressed Markets , 2019, with Wenqian Huang and Albert J. Menkveld
Upcoming presentations: WEAI 2019 annual conference; APAD 2019 annual conference

Time is valuable, particularly in stressed markets. As central counterparties (CCPs) have become systemically important, we need to understand the dynamics of their exposure towards clearing members at high frequencies. We track such exposure and decompose it which leads to the following insights. The composition of CCP exposure is fundamentally different in the tails. At extreme levels or during rapid increases, there is elevated crowding. This is the result of clearing members all concentrating their positions on a single security or a particular portfolio, desirable if motivated by hedging, worrying if due to speculation.

Work in progress

Data feed latency and mini flash crashes