Publications

Intraday Market Making with Overnight Inventory Costs

With Tobias Adrian, Agostino Capponi, Michael Fleming, and Hongzhong Zhang

Journal of Financial Markets (Lead Article), Volume 50, September 2020.

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 799, March 2020

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

With Tobias Adrian and Richard Crump

Journal of Finance, 74(4), August 2019, pp. 1931-73

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 723

Global Price of Risk and Stabilization Policies

With Tobias Adrian and Daniel Stackman

IMF Economic Review, 67(1), pp. 215-260

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 786

Market Liquidity after the Financial Crisis

With Tobias Adrian, Michael Fleming, and Or Shachar

Annual Review of Financial Economics 9, November 2017, pp. 43-83

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 796

Working Papers

An Index of Treasury Market Liquidity

With Tobias Adrian and Michael Fleming

Federal Reserve Bank of New York Staff Reports, Number 827, November 2017

Global Variance Term Premia and Intermediary Risk Appetite

With Peter Van Tassel

Federal Reserve Bank of New York Staff Reports, Number 789, August 2016

Option-Implied Term Structures

Federal Reserve Bank of New York Staff Reports, Number 706, January 2016