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Brief Bio

I am an academic finance researcher, currently Professor of Finance at the Cass Business School, City University London. My research interests are in the areas of applied financial econometrics, market microstructure and international finance. I have a PhD in Economics from the London School of Economics, supervised by Professor Charles Goodhart and have previously held academic positions at the London School of Economics, University of Bristol and Warwick Business School. For several years I worked as a quantitative researcher in the investment banking and hedge fund industries and since returning to academia I have continued to work in a consulting role for banks and also for regulators. Most recently the UK Government commissioned some work from me on the effects of computer-based trading on financial market quality as part of their Foresight project and I have been consulting for ESMA on a project regarding European equity market quality.

My SSRN page is here.

Recent research news

Some recent and upcoming events
  • Conference: April 2018: I talked about long-horizon skewness at the Lancaster Frontiers of Factor Investing conference.
  • Seminar: February 2018: I presented at Maynooth University on The Skewness of the Stock Market at Long-Horizons
  • Seminar: March 2017: I will talk about measuring skewness and kurtosis in long-horizon returns at Universite Paris-Dauphine.
  • Seminar: 13/03/2017: I talked  about Fast Aggressive Trading at Stockholm Business School
  • Conference: March 2017: I was invited to give our paper on swaps trading at the 2017 Midwest Finance Association meetings.
  • Conference: 24/05/2016: I was invited to talk about "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank act" at Brunel University's Finance and Econometrics workshop.
  • Conference: 05/05/2016: I was invited to talk about "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank act" at Southampton University's Finance and Econometrics workshop.
  • Seminar: 25/02/2016: I talked about Fast Aggressive Trading at the University of Piraeus.
  • Seminar: 22/01/2016: I talked about Fast Aggressive Trading at the Bank of England.
  • Visit: 19/10/2015 - 21/10/2015: I was invited to visit the House of Finance at Goethe University in Frankfurt. I also presented our Fast Aggressive Trading paper.
  • Visit: 29/06/2015 - 03/07/2015: I spent a few days working with a collaborator at Universite Paris-Dauphine and while I was there I gave our "What do stock markets tell us about exchange rates?" paper.
  • Discussion: I was invited to attend the Seventh Erasmus Liquidity Conference in Rotterdam on June 24th/25th 2015 and to discuss a paper.
  • Seminar: 6/05/2015: I talked to the London chapter of the Global Association of Risk Professionals about our Fast Aggressive Trading paper and its implications for trading regulation.
  • Cass Masterclass: 22/04/2015: I'll be in Oslo talking to Cass alumni and prospective students about mutual fund fee structures and our Cass Business School research on this topic.
  • Seminar presentation: 21/04/2015: I gave the Fast Aggressive Trading paper at the University of Stavanger in Norway.
  • Seminar presentation: 13/03/2015: I gave our "What do stock markets tell us about exchange rates?" paper at University of Loughborough.
  • On 3rd March, Nick Motson and I presented our work on mutual fund fees to the London members of the CFA in a CFA UK Masterclass.
  • Seminar presentation: 18/02/2015: gave our "What do stock markets tell us about exchange rates?" paper at University of Edinburgh Business School.
  • Seminar presentation: 06/02/2015: giving our "What do stock markets tell us about exchange rates?" paper at University of Liverpool.
  • Seminar presentation: 21/01/2015: talking about Fast Aggressive Trading at the ICMA Centre, University of Reading
  • I discussed a paper on the effects of financial transaction taxes on market quality at the 10th annual central bank microstructure workshop in Rome (October 2014)
  • Gave a paper on "Fast Aggressive Trading" at the City University of Hong Kong conference on high-frequency and algo trading (June 2014)
  • I gave an invited public lecture at Bozazici University in Turkey on high-frequency trading (May 2014)
  • Gave my joint work on "What do stock markets tell us about exchange rates?" at the Warwick Frontiers of Finance conference. (April 2014)
  • Was invited to give a talk at the Newton Institute at the University of Cambridge as part of a meeting on computerised trading. I gave my Fast Aggressive Trading paper (November 2013)
  • Invited presenter and panel member at the sixth Cass-Capco risk management conference in a session on high-frequency trading (April 2013)
  • Invited speaker at the 6th colloquium of the Scottish Financial Risk Academy on 'Computer-based trading and equity market quality' (April 2013)
  • Gave my 'Computer-based trading in the cross-section' talk and participated in a round-table discussion  on HFT at the UCL Recent Advances in Algo and High-Frequency Trading conference (April 2013)
  • Gave a talk at the Humboldt-Copenhagen conference on financial econometrics on 'Computer-based trading in the cross section' (March 2013)
  • Participated in a breakfast briefing of UK Peers and Members of Parliament on the UK Asset Management Industry, organised by the Industry and Parliament Trust (February 2013)

Media

I am regularly contacted to talk, write and comment about trading related matters for broadcast and print media. I have appeared on or commented to the BBC World Service, BBC Five Live, CNBC Turkey, Channel News Asia, the Financial Times, Bloomberg, the Daily Telegraph, Die Welt and the Conversation UK, amongst others.