[move the mouse over the buttons to see the abstracts]
Information Revelation in Decentralized Markets
Coauthored with Albert Menkveld
Conditionally accepted at The Journal of Finance
Earlier versions were circulated with the title A Network Map of Information Percolation
SSRN | Slides | Albert’s blog
Risk and Return in High-Frequency Trading
Coauthored with Matthew Baron, Jonathan Brogaard, and Andrei Kirilenko
Forthcoming in Journal of Financial and Quantitative Analysis.
Components of the bid–ask spread and variance: A unified approach
Coauthored with Richard Henricson and Lars Nordén. Published 2016 in Journal of Futures Markets 36(6): 545-563.
Trading fast and slow: Colocation and market quality
Coauthored with Jonathan Brogaard, Lars Nordén, and Ryan Riordan. Published 2015 in Review of Financial Studies 28(12): 3407-3443.
The aggressiveness of high-frequency traders
Coauthored with Lars Nordén and Dong Zhang. Published 2014 in The Financial Review 49(2), 395-419 (a special issue on HFT).
Closing call auctions at the index futures market
Coauthored with Lars Nordén. Published 2014 in Journal of Futures Markets, 34(4), 299-319.
The diversity of high-frequency traders
Coauthored with Lars Nordén. Published 2013 in a special issue on HFT in Journal of Financial Markets, 16(4), 741-770.
The Components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
Coauthored with Björn Hansson and Birger Nilsson. Published 2013 in Journal of Banking and Finance 37(11), 4476-4487.
Alchemy in the 21st Century: Hedging with gold futures
Coauthored with Caihong Xu and Lars Nordén. Published 2011 in Review of Futures Markets 19, 247–281.
Causality in crude oil prices
Coauthored with Szymon Wlazlowski and Monica Giulietti. Published 2011 in Applied Economics 43, 3337-3347.
Stock portfolio selection with full-scale optimization and differential evolution
Coauthored with Jane Binner. Published 2009 in Applied Financial Economics 19, 1559–1571.
Mean-variance vs. full-scale optimization: Broad evidence for the UK
Coauthored with Richard Anderson, Jane Binner, Thomas Elger, and Birger Nilsson. Published 2008 in The Manchester School 76, 134–156.