I am an Assistant Professor in Finance at the department of Finance at Durham University Business School, England, and Director of Quantitative Research in Financial Economics (QRFE). I completed my PhD in Finance at University of Paris X, France. I earned Master's degree in Finance from University of Toulouse 1, France.
Research interests: Market Microstructure, Asset Pricing, Blockchain-based markets, Data Science, Machine Learning, Quantum Finance, and Experimental Economics.
Recent Working Papers:
"Urgency in Action: Quantifying Wallet Behaviour and Liquidity Risk using Ethereum Blockchain Data and AI, (2024), with Dimitar Bogoev and Jiexiuhui Chen.
Download: Working Paper (first version 07/04/2024)
"Quantum walk model of a flash crash", (2024), with Stuart Adams, Christopher McCarty and Jack Waller.
"Intraday Momentum Trading and Liquidity Crises", (2024), with Dimitar Bogoev .
Download: Slides 19-10-2023-QRFE Event;
Publications:
"Non-Standard Errors", (2023), crowdsourcing project with 342 co-authors, Journal of Finance, April 2024.
"Dealers' incentives to reveal their names", (2022), Financial Review, Volume 57, Issue 1: 27-44.
Download: Published Article; DOI.
"Two-period duopolies with forward markets", with Caleb Cox and Matthias Pelster, (2022), Review of Industrial Organization, 60 (1). pp. 29-62.
Download: Accepted Paper Version; DOI
"The effects of intraday news flow on Dealers' quotations, Market Liquidity and Volatility", (2018), International Journal of Finance and Economics, 23(4) :492-503. DOI
"Detection of algorithmic trading", with Dimitar Bogoev, Physica A: Statistical mechanics and its applications, (2017), 484:168-181. DOI
"The effects of intraday news flow on stock market liquidity, volatility and trading activity", (2017), Economics Bulletin, Vol. 37 No.4 p.A21.
"Social preferences and cooperation in simple dilemma games", with Caleb Cox and Ryan Murphy, (2017), Journal of Behavioral and Experimental Economics, 69, 1-3. DOI
Older Works:
"European Gas Markets, Trading Hubs, and Price Formation: A Network Perspective", (2019), with Woroniuk, D. and Jamasb, T., Cambridge Working Papers in Economics CWPE 1964 / Electricity Policy Research Group Working Paper EPRG 1922, May, Faculty of Economics, University of Cambridge.