Working Papers:

"Time Series Reversal:  A Payment Cycle Friction" 

Abstract:

This paper shows that the U.S. equity market reverts the liquidity-driven market activity induced by the payment cycle within a month. The market-level reversal is robust to transaction costs and out-of-sample tests as it concentrates on liquid and high-priced stocks and during expansion periods. The findings lead to a novel interpretation of reversal: the pattern measures the liquidity not efficiently provided in the market rather than investors' cognitive bias or compensation for market-making.

Presentations: SFI Lugano PH.D. Brown Bag, HEC Paris PH.D. Brown Bag, 30th Finance Forum (Ph.D. Session), CIVICA Doctoral Conference 2023, EFMA 2024 (scheduled), 40th AFFI Conference (Ph.D. Session), Bocconi Brown Bag (scheduled), 16th Annual SoFiE Meeting (scheduled), 2024 FMA (Ph.D. Session, scheduled),  8th HEC Paris PhD Workshop (scheduled)

Awards: 2024 SoFiE Travel Scholarship Award, 40th AFFI Best PHD Workshop Paper Award

"Optimal Tick Size"  joint with Barbara Rindi and Bart Zhou Yueshen

Abstract:

We consider a model of a limit order book and determine the optimal tick size set by a social planner who maximizes the welfare of market participants. Our results show that when investors arrive sequentially and compete endogenously, providing liquidity by undercutting or queuing behind existing orders, the tick size is a positive function of the asset value and a negative function of its liquidity. Intuitively, the tick size is a strategic tool a social planner uses to optimally affect the choice made by investors between liquidity demand and supply, thus mitigating the inefficiencies created by excessive undercutting and queuing. The policy implication of such findings is that the European tick size regime and the “Intelligent Ticks” Nasdaq proposal dominate Reg. NMS Rule 612 that formalizes the tick size regime for the U.S. markets. Using data from the U.S. and the European markets we test our model's empirical predictions. 

Presentations: SSE Finance Brown Bag, HEC Paris Finance Brown Bag, EFA 2023 (Poster), CFM-Imperial Market Microstructure Workshop 2023, First QRFE Workshop (scheduled)