Research Interests
Applied Econometrics and Machine Learning
Microstructure of Financial Product Markets (government securities, commodities, derivatives)
Auctions
Fixed Income
Big Data
Industrial Organization
Research Interests
Applied Econometrics and Machine Learning
Microstructure of Financial Product Markets (government securities, commodities, derivatives)
Auctions
Fixed Income
Big Data
Industrial Organization
Published Papers
Trading Activity in the Indian Government Bond Market (with M. Fleming, Federal Reserve Bank of New York and Seema Saggar, Reserve Bank of India ), Federal Reserve Bank of New York Staff Report No. 785, August 2016
Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions (with A. Hortacsu, University of Chicago), NBER Working Paper # 11116
Reference Bayesian Inference in Nonregular Models. Journal of Econometrics, Vol. 113, No. 2, 2003, pp. 265–288
A Survey of Recent Work on Identification, Estimation and Testing of Structural Auction Models. Handbook of Applied Econometrics and Statistical Inference; Aman Ullah, Alan Wan, and Anoop Chaturvedi; eds.; Marcel Dekker; 2002
Relating Jeffreys’ Prior and Reference Prior in Nonregular Problems. Bayesian Methods with Applications to Science, Policy and Official Statistics: Selected Papers from ISBA 2000, 2001
Posterior Odds Comparison of a Symmetric Low-Price, Sealed-Bid Auction Within the Common Value and the Independent Private Value Paradigms. Journal of Applied Econometrics, Vol. 14, 1999, pp. 651–676
Working Papers
Cross-Country Comparison of Models for Issuance of Government Securities
Likelihood Based Estimation of Symmetric Parametric Structural Auction Models with Independent Private Values
Press
Bear Hunt in the Stock Market, Indian Express, July 3, 2013
Will Auctions Deliver Better Value for Coal (with Sangeeta Singh), The Hindu Business Line, September 6, 2012
Customers at a Disadvantage in Government Bond Auction, Investment Executive (Canada’s newspaper for financial advisers), February 17, 2005
An Auction Primer in the Context of the Credit Crisis (with Brad Miller), CRA White Paper