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Researcher on the design of equity and derivatives markets with contributions to leading academic journals and central bank discussion series, including the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis.
Selected media coverage: Financial Times (2017, 2016a, 2016b, 2015, 2014a, 2014b), Financial News, The Trade, and Markets Media.
Studies: University of Warwick (PhD); London School of Economics (MSc); Athens University of Economics and Business (BSc).
Research
The cost of clearing fragmentation, with Benos, P., Huang, W., and Menkveld, A. (forthcoming). Management Science.
OTC Microstructure in a Period of Stress: A Multi-layered Network Approach , with Joseph, A., (forthcoming). Journal of Banking and Finance.
Weighted Least Squares Realized Covariation Estimation, with Nolte, I., Voev, V., and Xu, Q. (forthcoming). Journal of Banking and Finance.
Regulatory Effects on Short-Term Interest Rates, with Ranaldo, A., and Schaffner, P. (2020, forthcoming). Journal of Financial Economics.
OTC Premia, with Genedese, G., and Ranaldo, A. (2020). Journal of Financial Economics, 136(1), 86-105.
Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act, with Benos, E., Payne, R. (2020). Journal of Financial and Quantitative Analysis, 55(1), 159-192.
Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging, with Cielinska, O., Joseph, A., Shreyas, U., and Tanner, J. (2017) IFC Bulletins Chapters, vol 43, Bank for International Settlements.
Identifying Contagion in a Banking Network, with Morrison A., Wilson M., and Zikes, F. (2017). Bank of England Working Paper No. 642. R&R Journal of Money, Credit and Banking.
A Comparative Analysis of Tools to Limit the Procyclicality of Initial Margin Requirements, with Murphy, D. and Vause, N. (2016). Bank of England Working Paper No. 597.
Sell-side Analysts' Career Concerns during Banking Stresses , with Nolte, I. and Nolte, S. (2014). Journal of Banking & Finance, 49, 424-441.
An Investigation into the Procyclicality of Risk-based Initial Margin Models, with Murphy, D. and Vause, N. (2014). Bank of England Financial Stability Paper, No. 29.
Selected conferences
2020: AEA, EFA
2019: SAFE
2018: WFA (Coronado), AFA (Philadelphia).
2017: AFA (Chicago), EFA (Manheim) Annual 2nd CEPR Symposium (London), Atlanta Fed.
2016: EFA, EEA, US CFTC, FED Board, US OFR, SEC, FCA, ESRB, Cambridge-INET, Lancaster, LSE.
Contact
Michalis.v@gmail.com
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