In its Junior program (Jeunes Chercheurs - Jeunes Chercheuses), the French National Research Agency (ANR, Agence Nationale de la Recherche) is providing financial support to the project entitled "PIMS" (Price formation In financial MarketS) on which I am working with different teams of co-authors. The official name of the project is: ANR-16-CE26-0008-01.
The purpose of this project is to further our understanding of the extent to which gains from trade can be reaped in financial markets. Designing the organization of financial markets implies defining the microstructure of the market, i.e., the trading and aggregation rules. Rules are often imperfect and give rise to various frictions, which might interplay with the beliefs, the strategic interactions, or the cognitive biases of market participants (e.g., investors, managers, or financial intermediaries). The objective of this research is to analyze the potential impact of these frictions on the prices, and thus on market quality and welfare, possibly to highlight original policy implications. The questions I will address belong to broad issues related to the influence of the trading rules on the price formation, market liquidity and stability, or to whether risks are efficiently shared and assets are correctly priced. My project is at the crossing of fields, namely, market microstructure, asset pricing, behavioural finance, and corporate finance. To achieve these objectives, my scientific approach is firmly grounded on theoretical, experimental, and empirical bases.
The project is funded for a period of four years, and started on October 1st, 2016.
The project on passive investment has welcomed a new co-author, Yifeng Guo (PhD student at Columbia Business School).
I have lauched a new project with Sébastien Pouget (Toulouse School of Economics) and Angela Torres (PhD student, Dauphine University) on electricity futures markets.