RESEARCH INTERESTS
International Finance: Exchange Rate Economics, Foreign Exchange Intervention, Carry Trading and the Forward Discount Bias.
Market Microstructure: Price Manipulation and Noise Trading, Market Transparency and Price Experimentation, Order Flow.
Financial Economics: Risk-Aversion and Asset Pricing.
Optimal Control: Pessimism and Ambiguity-Aversion.
GOOGLE SCHOLAR
PUBLICATIONS
Optimal Monetary Policy with A Risk-averse Central Bank, with Guido Traficante, Macroeconomic Dynamics, 29, August 2025, 1-20.
Optimal Surveillance and Indemnity Policy for Eradicating Exotic Livestock Diseases, with Cristina Salvioni, Journal of Agricultural Economics, 76, June 2025, 434-446.
The Currency That Came in From the Cold: Capital Controls and the Information Content of Order Flow, with Francis Breedon and Thòrarinn G. Pètursson, Journal of International Money and Finance, 138, November 2023, 1-17.
A Dynamic Oligopoly with Price Stickiness and Risk-averse Agents, with Edilio Valentini, Italian Economic Journal, 8, November 2022, 697-718.
Optimal Climate Policy for a Pessimistic Social Planner, with Edilio Valentini, Environmental and Resource Economics, 72, January 2019, 411-433.
Optimal Monetary Policy for a Pessimistic Central Bank, Journal of Macroeconomics, 58, December 2018, 39-59.
Robust Trading for Ambiguity-Averse Insiders, Journal of Banking and Finance, 90, May 2018, 113-130.
Insider Trading in Sequential Auction Markets with Risk-aversion and Time-discounting, European Journal of Finance, 23, October 2017, 1267-1279.
Ambiguity-aversion in a Single Auction Market, Economics Bulletin, 37, July 2017, 1745-1752.
Pessimistic Optimal Choice for Risk-averse Agents: The Continuous-time Limit, Computational Economics, 49, January 2017, 17-65.
Carry Trade, Order Flow and the Forward Bias Puzzle, with Francis Breedon and Dagfinn Rime, Journal of Money, Credit and Banking, 48, September 2016, 1113-1134.
Optimal Informed Trading in the Foreign Exchange Market, European Journal of Finance, 18 December 2012, 989-1013.
Risk-averse Insider Trading in Multi-asset Sequential Auction Markets, Economics Letters, 117, December 2012, 673-675.
Call Auction Markets with Risk-averse Specialists, Theoretical Economic Letters, 2, May 2012, 175-179.
The Impact of Foreign Exchange Intervention: A Market Microstructure Analysis, International Journal of Finance and Econonomics, 16, January 2011, 41-62.
An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates, with Francis Breedon, Journal of Internation Money and Finance, 29, April 2010, 504-524.
A Guided Tour of the Market Micro Structure Approach to Exchange Rate Determination, Journal of Economic Surveys, 21, December 2007, 903-934.
An Assessment of Some Open Issues in the Analysis of Foreign Exchange Intervention, International Journal of Finance and Economics, 12, March 2007, 155-170.
A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates, with Richard Payne, Journal of International Economics, 61, December 2003, 331-352.
Foreign Exchange Intervention: How to Signal Policy Objectives and Stabilize the Economy, Journal of Monetary Economics, 50, May 2003, 841-870.
Inflation and Sovereign Default, with Turalay Kenc and William Perraudin, IMF Staff Papers, 47, September 2001, 367-386.
Speculative Noise Trading and Manipulation in the Foreign Exchange Market, Journal of International Money and Finance, 19, September 2000, 689-712.
Sterilized Central Bank Intervention in the Foreign Exchange Market, Journal of International Economics, 49, December 1999, 245-267.
Two Months in the Life of Two Market Makers on the London Stock Exchange, Journal of International Financial Markets, Institutions and Money, 8, December 1998, 299-324.
Reserves and Exchange Rate Cycles, with Robert Flood and William Perraudin, Journal of International Economics, 46, October 1998, 31-59.
Inter-dealer Trade and Information Flows in a Decentralized Foreign Exchange Market, with William Perraudin, in The Microstructure of Foreign Exchange Markets, Frankel J., G. Galli and A Giovannini (eds.), April 1996, 73-105.
Razionalita' versus "Chartism": Consequence per la Teoria dei Cambi, Moneta e Credito, 185, March 1994, 87-102.
WORKING PAPERS
The Dissemination of Short-sellers' Information, with Paolo Colla, SSRN Working Paper 4012043, July 2025.
Price Manipulation and Collusion around the London 4pm Fix, with Paolo Colla and Walter Distaso, SSRN Working Paper 4819478, May 2024
Risk-sensitive Optimal Control with Forward-looking Variables, with Guido Traficante, SSRN Working Paper 4360106, October 2023.
Pessimistic Optimal Choice for Risk-averse Agents, University of Pescara mimeo, September 2013.
Linear Risk-averse Optimal Control Problems: Applications in Economics and Finance, CASMEF Working Paper 2012-03, January 2012.
Equilibrium Exchange Rate Policies: Complicit Renegotiation-Proof Outcomes, with Pierre Mella-Barral, CEPR Discussion Paper 2718, March 2001.
Coordinated Monetary Policy and Foreign Exchange Intervention, FMG Discussion Paper 280, November 1997.
Risk-Averse Traders and Inside Information, University of Cambridge DAE Working Paper 9504, January 1995.
OTHER
Frozen Markets: Iceland's Experience with Capital Controls, with Francis Breedon and Thòrarinn G. Pètursson, SUERF Policy Brief 184, September 2021.