Visiting Research Scholar
Department of Economics
Durham, NC 27710
Claudia Moise's research interests are in the areas of asset pricing, market microstructure, and financial econometrics, with a focus on volatility, liquidity, financial crises, big data, market mechanism design, and regulations of financial markets. She has worked on introducing a novel measure of market illiquidity that stems from frictions that reflect stresses on the market making infrastructure and impede arbitrage capital; on assessing the effect of circuit breakers on market quality, while also providing regulatory recommendations on how to improve the existing market mechanism design; on identifying flights to safety in the financial markets and establishing a link between financial volatility and monetary policy; and on proposing behavioral explanations for some of the existing asset pricing anomalies.
Claudia held academic positions at University of Maryland Robert H. Smith School of Business, New York University Leonard N. Stern School of Business, and at Case Western Reserve University Weatherhead School of Management. She was also a Financial Economist in the Division of Economic and Risk Analysis (DERA) at the U.S. Securities and Exchange Commission, where she conducted economic analyses on the effects of circuit breakers on market quality, and on the mechanics and systemic policy issues behind ETFs. She also provided economic support for various market structure initiatives, such as dark pools’ increased transparency, broker/dealer’s order routing and execution disclosure, and the designation of a new listing exchange, among others, and served as the DERA delegate for the Limit Up-Limit Down Operating Committee, as well as the DERA delegate for the Market Quality Subcommittee of the Executive Market Structure Advisory Committee. Prior to earning her PhD, she worked as a consultant for PGA Funds/CBOT and for the Fixed Income Quantitative Research Department at Deutsche Bank/Zurich Scudder, where she developed models for portfolio allocation and risk assessment. She also worked in quantitative marketing research for Information Resources, and as a statistician for Abbott labs, and for the Romanian National Institute of Statistics.
Claudia received her PhD and MBA degrees in Finance and Econometrics from The University of Chicago Booth School of Business, her MS degree in Statistics from The University of South Carolina, Columbia, and her MS and BS degrees in Mathematics from The University of Bucharest, Romania.