Welcome to my website! 

About me:

I hold a PhD in Economics, with concentrations in Financial Economics, Industrial Organization, and Econometrics, from the University of Illinois at Urbana-Champaign. I have been an Assistant Professor of Finance at the Argyros College of Business and Economics at Chapman University since 2018 (I was on leave 2021-2022). I have also served as a Financial Economist at the Securities & Exchange Commission from 2021 to 2024. Before joining Argyros College, I was an Assistant Professor of Economics at Ohio University from 2015 to 2018. My research interests include Market Microstructure, Security Markets Regulations, and Behavioral Asset Pricing. I have taught undergraduate- and graduate-level courses in Investments, Corporate Finance, and Business Statistics.

CV            Teaching

Research Papers

Published and Accepted Articles:

• Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets, with Peter Dixon and  Qiyu Liu, Journal of Finance, Conditionally accepted.

  • Download data here.

• When Does the Tick Size Help or Harm Market Quality? Evidence from the Tick Size Pilot, with Peter Dixon,  Qiyu Liu, and Ariel Lohr, Journal of Financial Markets, Conditionally accepted.

• What Drives Momentum and Reversal: Evidence from Day and Night Signals, with Vincent Bogousslavsky and Dmitriy Muravyev, Review of Financial Studies, Conditionally accepted.

  • Media coverage: Alpha Architect

• Revisiting the U-Shaped Patterns in Volatility and Price Impacts: Novel Results Using Trade-Time Estimates, with Dan Bernhardt, Journal of Financial Markets, Forthcoming.

• Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns, with Dan Bernhardt, Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, Forthcoming. [Internet Appendix]

  • Best Paper Award in Investments, Semi-finalist, 2022 FMA annual meetings.

  • Some analyses in this paper include revisited results from "Internalized Retail Imbalances and Institutional Liquidity Demand" by the same group of co-authors.

  • Download data here.

• Are Short Selling Restrictions Effective?, with Andrew Bird, Stephen A. Karolyi, and Thomas Ruchti, Management Science, 71(5), 3641-4531.

  • Media coverage: Financial Times

• The Information in Industry-Neutral Self-Financed Trades, 2024, with Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, 59(2), 796-829. [Internet Appendix]

• The Night and Day of Amihud's (2002) Liquidity Measure, 2021, with Dan Bernhardt, Thomas Ruchti and Marc Weidenmier, Review of Asset Pricing Studies 11(2), 269-308.

  • Solicited by The Review of Asset Pricing Studies. 

  • Download data here.

• Trade-Time Measures of Liquidity, 2019, with Dan Bernhardt and Ryan Davies, Review of Financial Studies 32 (1), 126-179. 

  • Best Paper Award in Market Microstructure, Semi-finalist, 2016 FMA annual meetings.

  • Download data here.

Working Papers:

• You Can Only Lend What You Own: Inferring Daily Institutional Trading from Lendable Security Inventory, with Zhi Da, Peter Dixon, and Junbo Wang. 

• Unpacking Retail Trading Costs: the Role of Options Trading and Limit Order Usage, with Vincent Bogousslavsky and Dmitriy Muravyev. 

• A Test of Speculative Arbitrage: Is the Cross-section of Volatility Invariant?, with Dan Bernhardt and Thomas Ruchti.

Work in Progress

• “Using the Tick Size Pilot for Causal Inference in Accounting and Finance,” with Peter Dixon and Thomas G. Ruchti.

• “An Intraday Analysis of Information Diffusion Using NYSE Floor Latencies During the 1929 Great Crash,” with Marco DeAgeloand and Marc Weidenmier.

• Financial Disclosure and the Creation of the SEC, with Andrew Bird, Thomas Ruchti and Marc Weidenmier.

• Estimating a Dynamic Structural Model of Parasitic Trading, with Dan Bernhardt and Alexei Boulatov.

• “A Dynamic Model of Undercutting with Information Asymmetry,” with Dan Bernhardt and Peter Dixon.

• “The Value of Hiding Short Positions,” with Andrew Bird, Peter Dixon, Stephen A. Karolyi, and Thomas G. Ruchti.

Permanent Working Papers: 

• Internalized Retail Order Imbalances and Institutional Liquidity Demand, with  Dan Bernhardt, Zhi Da and Mitch Warachka.

1. • Best Paper Award in Market Microstructure, Semi-finalist, 2022 FMA annual meetings.