Liquidity Collapse and the Propagation of Price Shocks

with Stuart Adams, Christopher McCarty and Jack Waller

March 2026

We develop a Depth-Driven Cascade (DDC) model explaining how extreme price movements arise when market liquidity temporarily loses its ability to absorb order flow using quantum-inspired models.

|📄 Paper | 🎤 Presentations: Commodities Futures Trading Commissions (Washington), Central Bank of Ireland, Financial Conduct Authority FSEG Principals Meeting, QRFE 2nd Quantitative Finance Workshop|

Execution Urgency and Price Discovery in Blockchain Markets

with Dimitar Bogoev, Jiexuihui Chen and Alfred Lehar

January 2026

We Introduce an urgency metric for Ethereum transactions and show how blockchain execution behavior contributes to price discovery.

|📄 Paper | 🎤 Presentations: Ethereum Zuri 2026, Georgia State University finance seminar, QRFE Workshop on Blockchain-based markets and FinTech|

when markets get confused: misperception versus inventory

with Olga Balakina, Claes Backman and Anastasiia Parakhoniak

November 2025 (under revision)

We show that investor misperception can generate temporary pricing errors, distinct from dealer inventory constraints.

|📄 Paper | 🎤 Presentations: Memphis University finance seminar, SAFE Frankfurt University and Durham University Business School|

Research supported by the British Academy/Leverhulme Grant SRG1819

Quote volatility Pressure and Intraday Momentum

with Dimitar Bogoev and Angel Hernando-Veciana

November 2025 (under revision)

We show theoretically and empirically how persistent sell-side herding in high-frequency markets triggers repeated quote revisions and sharp price declines, generating episodes of liquidity instability.

|📄 Paper| 🎤 Presentations: Central Bank of Ireland, Financial Conduct Authority FSEG principals meeting, QRFE workshop on Market Microstructure, IFABS meetings at Oxford University, Commodity Futures Trading Commission, Paderbon University and Leicester University.

modern market microstructure: liquidity, volatility and Stability

2025 (under revision)

Literature review on how structural changes in modern financial markets affect liquidity and volatility, including the growing role of SupTech and RegTech in monitoring and mitigating extreme market events.

|📄 Paper |

Research undertaken at the request of the Financial Conduct Authority and funded through a FCA grant.