Research
WORKING PAPERS
Circuit Breakers, Illiquidity, and the COVID-19 Crisis
Flights to Safety, Volatility Risk, and Monetary Policy
Myopic Extrapolation, Price Momentum, and Price Reversal (with Long Chen and Shelly Zhao)
Stochastic Volatility Risk and the Size Anomaly
WORK IN PROGRESS
Learning and Trading in Illiquid Markets
Financial Institutions and Crises
PUBLICATIONS AND MONOGRAPHS
"Limit Up-Limit Down" Pilot Plan and Associated Events (with Paca Flaherty), SEC White Paper, 2017
Exchange Traded Funds: Mechanics, Growth, and Systemic Policy Issues (with SEC Staff), SEC White Paper
Stochastic Volatility and Stock Returns: Evidence from Microstructure Data, PhD Thesis, 2006
Source Runoff Modeling: A Comparison of a Forested Watershed and an Urban Watershed on the SC Coast (with C. Corbett, M. Wahl, D. Porter and D. Edwards), J. of Experimental Marine Biology and Ecology 213: 133-149, 1997
Alternatives to the Paired T-test for Testing Spatial Change, MS Statistics Thesis, 1997
Analysis of Romanian Natural Gas Production, Bulletin of the National Commission for Statistics, Romania, 1995
Limit Theorems for Banach-Space Valued Martingales, M.S. Mathematics Thesis, 1991
About the Autoregressive Process of Order p, B.S. Mathematics Thesis, 1990
About Some Properties of Finite Groups, Proceedings of the Summer School in Math, Romania, 1986
A Method for Solving Diofantic Equations, Proceedings of the Summer School in Math, Romania, 1984