Research

Research Interests

In general, I am interested in building dynamic equilibrium models, which are explicit about the trading frictions that make liquidity relevant for the determination of prices, allocations, and welfare. My existing research concerns how heterogeneity in market participants’ various characteristics affect their strategies in bilateral trade in OTC markets, their choice of trading venue, and their optimal inventory and portfolio management.   

Publications

[1] Pricing and Liquidity in Decentralized Asset Markets Econometrica, Vol. 87 (2019), pp. 2079-2140.

         A search-and-bargaining model that demonstrates how investors' heterogeneous exposure to search frictions shapes their dynamic liquidity provision incentives

[2] A Theory of Participation in OTC and Centralized Markets Review of Economic Studies, Vol. 89 (2022), pp. 3223-3266.

      (with Jérôme Dugast and Pierre-Olivier Weill) 

         The equilibrium and socially optimal distribution of volume across venues with an emphasis on the role of trading capacities in the OTC market

[3] Yield Drifts When Issuance Comes Before Macro News Journal of Financial Economics, Vol. 165 (2025), 103993.

      (with Dong Lou, Gábor Pintér, and Danny Walker) 

         An empirical and theoretical analysis of pre-monetary policy announcement price drift in the UK government bond market

         A non-technical summary can be found at Bank Underground

[4] Price Formation in Markets with Trading Delays Management Science, Vol. 71 (2025), pp. 6131-6354. 

      (with Gábor Pintér) 

         Trading delays do not affect information aggregation in competitive markets, yet still reduce the market efficiency by disincentivizing information production

Working Papers

[5] Comparing Search and Intermediation Frictions Across Markets Revise and Resubmit, Journal of Financial Economics  

      (with Gábor Pintér and Jean-Charles Wijnandts) 

         A structural empirical analysis of liquidity and welfare in the UK fixed-income markets 

[6] Liquidity in the Cross Section of OTC Assets Revise and Resubmit, Management Science

       (with Güner Velioğlu)

         An OTC market framework to study the determinants of liquidity differentials across assets with rich set of implications on trading activity, price dispersion, and price impact

[7] Market Whiplash After the 2025 Tariff Shock: an Event-Targeted VAR Approach 

      (with Gábor Pintér and Frank Smets) 

         A novel, event-targeted vector autoregression (ETVAR) framework to disentangle three potential explanations for panic and recovery after the 2025 tariff shock

Work in Progress

[8] Information Production, Information Diffusion, and Market Efficiency (with Adrien d'Avernas) 

         Costly percolation of information has implications that are in sharp contrast with reduced-form information acquisition models 

[9] Persistent Bilateral Relationships in OTC Markets (with Wei Li and Zhaogang Song)

         A general framework that demonstrates how the bilateral nature of OTC trades gives rise to persistent trading relationships