The latest versions of these can be found at my SSRN Author Page.
Liquid Factor Models. Submitted.
Modeling Trade Direction. Journal of Financial Econometrics, 10(2), 2012, 390-415. (Online Addendum, Code)
Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model. Journal of Empirical Finance, 43, 2017, 143-158. (with Kris Boudt and Ellen C.S. Paulus).
Transaction Taxes in a Price Maker/Taker Market. (with Nordia Thomas and Hefei Wang) In revision.
Market Structure, Counterparty Risk, and Systemic Risk. In revision.
Performance Metrics for Algorithmic Traders. In revision.
Approximating Correlated Defaults. In revision.
Index Arbitrage and Refresh Time Bias in Covariance Estimation. (with Jin Zhang)
Increasing Shareholder Value? A Study of Share Repurchases. (with Nitish Sinha)