Publications

RESEARCH ARTICLES

• "The Cost of Clearing Fragmentation", with Wenqian Huang, Albert Menkveld and Michalis Vasios, Management Science, forthcoming

  • Working paper: SSRN (latest version)

  • Article: Albert Menkveld's two cents

• "Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act", with Michalis Vasios and Richard Payne, Journal of Financial and Quantitative Analysis, 2020, Vol. 55(1), 159-192

• Working paper: Bank of England staff working paper No. 580

• Articles: VOX EU Column, Columbia Law School Blue Sky Blog Column

• Media coverage: Financial Times, International Financing Review, Markets Media

• Citations: Congressional testimonies by CFTC Chairman Timothy Massad (here) and by Fed Governor Jerome Powell (here). Also cited in remarks by CFTC Chairman Massad before the 2016 P.R.I.M.E. Finance Annual Conference (here) and before the ABA Derivatives and Futures Law Committee, 2016 Winter Meeting (here).

• "Funding Constraints and Liquidity in Two-Tiered OTC Markets", with Filip Zikes, Journal of Financial Markets, 2018, Vol. 39, 24-43

• "The Impact of De-Tiering in the United Kingdom's Large-Value Payment System", with Gerardo Ferrara and Pedro Gurrola-Perez, Journal of Financial Market Infrastructures, 2018, 6(2/3), 1-32

• "Interactions Among High Frequency Traders”, with James Brugler, Erik Hjalmarsson and Filip Zikes, Journal of Financial and Quantitative Analysis, 2017, Vol. 52 (4), 1375-1402

  • Media coverage: Bloomberg, International Business Times, Yahoo Finance

• "Price Discovery and the Cross-Section of High Frequency Trading", with Satchit Sagade, Journal of Financial Markets, 2016, Vol. 30, 54-77

• "The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers", with Rodney Garratt and Peter Zimmerman, International Journal of Central Banking, 2014, Vol. 10, No. 4, 143-171 [VOX EU Column]

• "Patriotic Name Bias and Stock Returns", with Marek Jochec, Journal of Financial Markets, 2013, Vol. 16, Issue 3, 550-570

• "Short-term Persistence in Mutual Fund Market Timing and Stock Selection Abilities", with Marek Jochec, Annals of Finance , 2011, Vol. 7, No 2, 221-246

• "Can Mutual Funds Time Risk Factors?", with Marek Jochec and Victor Nyekel, The Quarterly Review of Economics and Finance, 2010, Volume 50, Issue 4 (November), 509-514

• "Private Benefits and Cross-Listings in the United States", with Michael Weisbach, Emerging Markets Review, 2004, Vol. 5, 217-240

POLICY ARTICLES

• "Centralising Bond Trading" with Pedro Gurrola-Perez and Stefano Alderighi, WFE report, December 2022 (New!)

• "Who supplies liquidity in CHAPS?", with Christina Fritz, Bank Underground, July 2018

• "The economics of distributed ledger technology for securities settlement", with Rodney Garratt and Pedro Gurrola-Perez, Bank of England Staff Working Paper No 670, 2017

• "Managing Market Liquidity Risk in Central Counterparties", with Michael Wood and Pedro Gurrola-Perez, Journal of Financial Market Infrastructures, 2017, Vol. 5, No 4 (June), 105-125

• "Recycling is good for the liquidity environment: Why ending QE shouldn’t stop banks from being able to make CHAPS payments", with Gary Harper, Bank Underground, May 2016

• "High-frequency trading and market quality: What's the deal?", Bank Underground, November 2015 [Coverage by the FIA European Principal Traders Association]

• "The structure and dynamics of the UK credit default swap market", with Anne Wetherilt and Filip Zikes, Bank of England Financial Stability Paper No. 25, November, 2013 [VOX EU Column]

• "The Role of Designated Market Makers in the New Trading Landscape", with Anne Wetherilt, Bank of England Quarterly Bulletin, 2012, Q4, Volume 52, No 4, 343 – 353