Research

Market microstructure

Learning in games

Industrial organisation

AI Bubbles with Large Language Models (with Álvaro Cartea, Nan Chen, Mingyue Zhong) 2026. Available at SSRN 6426761. [PDF]

The Lasting Impact of Flickering Quotes (with Jonathan Brogaard, Álvaro Cartea, Rob Graumans) 2025. Available at SSRN 5963035. [PDF]

Anonymity, Signaling, and Collusion in Limit Order Books (with Álvaro Cartea, Rob Graumans) 2025. Available at SSRN 5080700. Submitted. [PDF]

Spoofing and Manipulating Order Books with Learning Algorithms (with Álvaro Cartea, Gabriel García-Arenas) 2023. Available at SSRN 4639959. R&R at Operations Research. [PDF]

Algorithms and Supracompetitive Prices in Electronic Markets: The Impact of Tick Size (with Álvaro Cartea, José Penalva) 2023. Available at SSRN 4105954. R&R at Management Science. [PDF]

The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games (with Álvaro Cartea,  José Penalva, Harrison Waldon) 2022. Available at SSRN 4175239. Submitted. [PDF]

Algorithmic Collusion and a Folk Theorem from Learning with Bounded Rationality (with Álvaro Cartea, José Penalva, Harrison Waldon) 2026. Games and Economic Behavior. [PDF]

AI Driven Liquidity Provision in OTC Financial Markets (with Álvaro Cartea, Mateusz Mroczka, Roel Oomen) 2022. Quantitative Finance. [PDF]

The Epps effect under alternative sampling schemes (with Etienne Pienaar, Tim Gebbie) 2021. Physica A: Statistical Mechanics and its Applications. [PDF]

Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (with Etienne Pienaar, Tim Gebbie) 202. SIAM Journal on Scientific Computing. [PDF]

Fourier instantaneous estimators and the Epps effect 2020. PLOS ONE. [PDF]