Liquidity Collapse and the Propagation of Price Shocks

with Stuart Adams, Christopher McCarty and Jack Waller

March 2026 (under revision)

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|

Quote Fragility, Intermediary Constraints, and Tail Risk

with Dimitar Bogoev

August 2026

We construct a high-frequency measure of intermediary liquidity conditions from quote path instability and transient price displacement in four futures markets. The measure contains information beyond volatility, spreads, depth, price impact, order-flow toxicity, and cross-market stress, and covaries with independent funding and dealer-positioning measures. Its predictive contribution persists across chronological expanding-and rolling-window tests. The relation is nonlinear: predicted tail-event probabilities change materially as markets enter the joint fragile state but flatten at extreme levels. The results identify an intraday market-based signal associated with intermediary risk-bearing conditions and the conditional distribution of future returns.

|📄 SSRN| 🎤 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, Paderborn University and Leicester University.

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

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.

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

Modern financial markets and regulatory innovation: liquidity, volatility and Stability

2026

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.

|📄 Working Paper |

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

Herding leads to Price instability

2026 with Angel Hernando-Veciana

In-progress

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.