Presentations
Slides, Realized Variance Polluted by Bid-Ask Spreads: Direct versus Indirect Corrections, 20 December 2019, StatFin, CMI, Chennai (remote from Hong Kong).
Slides, Why You Should smoothScatter(), 11 June 2019, Open Mic Night, Chicago R User Group.
Slides, Introduction to Quantitative Research with R, 29 May 2019, CQA Institute, Wilkes University, Wilkes-Barre, Pennsylvania.
Slides, The Dark Arts of Selecting and Diagnosing Models, 17 May 2019, R/Finance conference, UIC, Chicago.
Slides, A Quantitative Primer on Investments with R, 24 April 2019, CQA Fall Meeting, Las Vegas.
Slides, A Look Forward, 3 April 2019, Finance undergrads, University of Notre Dame.
Slides, How I Learned to Stop Worrying and Love optim, 23 January 2019, Favorite Function Night, Chicago R User Group.
Slides, A Tour of Financial Modeling, 1 June 2018, R/Finance conference, UIC, Chicago.
Slides, A Look Forward, 30 April 2018, Finance undergrads, University of Notre Dame.
Slides, Transaction Taxes in a Price Maker/Taker Market, 31 July 2015, GOSS/NUS RMI Private Equity and Risk Management Conference, Singapore.
Discussion Slides, Risk Management for Private Equity Funds (Büchner), 31 July 2015, GOSS Private Equity and NUS Risk Management Conference, Singapore.
Slides, Macro Crises and Microstructure, 25 June 2015, Chicago Trading Corporation, Chicago.
Slides, Government Bailouts in a Glosten-Milgrom Economy, 4 March 2015, MFA annual meeting, Chicago.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 16 December 2014, ESSEC conference on Extreme Events in Finance, Royaumont Abbey, France.
Discussion Slides, Derivatives Markets and Financial Stability session, 4 December 2014, Cleveland Fed/Office of Financial Research conference on Financial Stability, Washington DC.
Eren: Intermediary Funding Liquidity and Rehypothecation as Determinants of Repo Haircuts and Interest Rates
Siriwardane: Concentrated Capital Losses and the Pricing of Corporate Credit Risk
Shan, Tang, and Yan: Regulatory Capital and Bank Lending: The Role of Credit Default Swaps
Slides, Funding Liquidity, Market Liquidity, and TED Spread: A Two-Regime Model, 30 September 2013, European Central Bank workshop on Structural Changes in Money Markets, Frankfurt.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 11 September 2013, Banque de France/ ECB/ Bank of England colloquium on OTC Derivatives Reform, Paris.
Poster (from slides), Transaction Taxes in a Price Maker/Taker Market, 26 March 2013, Institut Louis Bachelier forum on Liquidity Risk, Paris.
Slides, Transaction Taxes in a Price Maker/Taker Market, 16 March 2013, FDIC Derivative Securities and Risk Management conference, Washington DC.
Discussion Slides, How Much Does the Weighted Price Contribution Measure Price Discovery?, 20 December 2012, AUT Auckland Finance Meeting, Auckland.
Slides, Transaction Taxes in a Price Maker/Taker Market (results out-of-date), 20 December 2012, AUT Auckland Finance Meeting, Auckland.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 18 December 2012, Reserve Bank of New Zealand Stability and Efficiency of Financial Systems conference, Wellington.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 30 November 2012, Commodity Futures Trading Commission research conference, Washington DC.
Discussion Slides, Adaptive Trading and Longevity (Garvey, Wu), 20 October 2012, FMA annual meeting, Atlanta.
Discussion Slides, When Enough is Not Enough: Structural Credit Risk-Based Estimation of Bank Capital (Imerman), 18 October 2012, FMA annual meeting, Atlanta.
Discussion Slides, Price Clustering of T-Bond Trades and Quotes: Theory and Evidence (Nikiforov, Pilotte), 18 October 2012, FMA annual meeting, Atlanta.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 28 September 2012, Austrian National Bank Financial Markets and Real Economic Activity workshop, Vienna.
Slides, Approximating Correlated Defaults, 27 September 2012, National Bank of Slovakia seminar, Bratislava.
Slides, Transaction Taxes in a Price Maker/Taker Market (results out-of-date), 26 September 2012, Comenius/ Economics University/ National Bank of Slovakia joint seminar, Bratislava.
Slides, Transaction Taxes in a Price Maker/Taker Market (results out-of-date), 14 September 2012, Warwick University Frontiers of Finance Conference, Coventry.
Discussion Slides, The Cost of Latency (Moallemi, Sağlam), 8 June 2012, FMA European Conference, İstanbul.
Slides, Approximating Correlated Defaults, 18 April 2012, CQA Spring Meeting, Las Vegas.
Slides, Performance Metrics for Algorithmic Traders, 26 January 2012, 4th Hedge Fund Conference sponsored by NYSE/CREST/Lyxor, Paris.
Poster, Funding Liquidity, Market Liquidity, and TED Spread: A Two-Regime Model, 16 December 2011, (EC)^2 conference "Econometrics for Policy Analysis: after the Crisis and Beyond", EUI, Florence.
Slides, Funding Liquidity, Market Liquidity, and TED Spread, 2 December 2011, UIC finance seminar.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 23 September 2011, Bank of Finland/SUERF/CEPR/JFI conference on the Future of Risk Management, Helsinki.
Discussion Slides, Hedge Fund Performance and Systemic Risk (Joenväärä), 23 September 2011, Bank of Finland/SUERF/CEPR/JFI conference on the Future of Risk Management, Helsinki.
Slides, Approximating Correlated Defaults, 23 July 2011, Oakland U. conference on credit analysis, Oakland, MI.
Discussion Slides, Does Modeling Framework Matter? (Gündüz, Uhrig-Homburg), 23 July 2011, Oakland U. conference on credit analysis, Oakland, MI.
Slides, Increasing Shareholder Value? A Study of Share Repurchases, 1 July 2011, Bergisches U. Wuppertal conference on payout policy, Wuppertal, Germany.
Slides, Increasing Shareholder Value? A Study of Share Repurchases, 30 June 2011, U. Birmingham conference on corporate governance, Birmingham, UK.
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 10 June 2011, U. Genève/GFRI conference on financial networks, Geneva.
Slides, Index Arbitrage and Refresh Time Bias in Covariance Estimation, 15 May 2011, IFM2 Mathematical Finance Days, Montréal (HEC).
Slides, Market Structure, Counterparty Risk, and Systemic Risk, 9 April 2011, EFMA symposium on alternative investments, Toronto (York).
Discussion Slides, Will Alternative UCITS Ever Be Loved Enough to Replace Hedge Funds?, 9 April 2011, EFMA symposium on alternative investments, Toronto (York).
Poster, A Network Model of Counterparty Risk, 10 March 2011, Institut Louis Bachelier forum on "Long Term Risks," Paris.
Discussion Slides, Elimination of Systemic Risk in the Interbanking System (Meyer), 5 March 2011, MFA annual meeting, Chicago.
Discussion Slides, Implied Volatility Spreads, Skewness, and Expected Market Returns (Atilgan, Bali, Demirtas), 5 March 2011, MFA annual meeting, Chicago.
Slides, The Effect of Market Structure on Counterparty Risk, 3 March 2011, MFA annual meeting, Chicago.
Slides, A Network Model of Counterparty Risk, 21 June 2010, seminar, HKUST, Hong Kong.
Slides, Approximating Correlated Defaults, 15 June 2010, QMBA, Guanghua School of Management at Peking University, Beijing.
Slides, Performance Metrics for Algorithmic Traders (invited), 10 June 2010, FERM sponsored by CRETA at National Taiwan University.
Slides, A Network Model of Counterparty Risk, 16 April 2010, NYU Stern/Volatility Institute conference on Volatility and Systemic Risk, New York.
Slides, Performance Metrics for Algorithmic Traders, 14 April 2010, CQA Spring 2010 Conference, Las Vegas.
Performance Metrics for Algorithmic Traders (invited), 17 March 2010, CREATES, Market Microstructure Symposium, Aarhus, Denmark.
Slides, Counterparty and Non-Random Risk (invited), 20 August 2009, 57th Session of the ISI, Durban, South Africa.
Poster, Approximating Correlated Defaults for Credit Default Options and Swaps, 12 June 2009, SoFiE first European conference.
Slides, Modeling Trade Direction, 7 March 2009, MFA annual meeting.
Discussion Slides, Caveat Venditor --- Crowded Exits (Clunie, Moles, Gao), 6 March 2009, MFA annual meeting, Chicago.
Poster, Modeling Trade Direction, 15 September 2008,Oxford-Man Institute conference on Financial Econometrics and Vast Data.