Working Papers

Cross Market Price Discovery and Selective Delta Hedging in the Option Market (Job Market Paper) (Previously "The intertwined Price Discovery Processes in Equity and Option Markets") 

We study the impact of option trading on equity price discovery using trade-level OPRA and TAQ data for S&P 500 stocks in 2020. On average, an option trade moves the underlying price by 0.56 basis points over five minutes, about one-sixth the effect of a stock trade. The impact is heterogeneous, increases monotonically with moneyness and absolute delta, and concentrates in single-leg and limit-order-book trades, while auction and multi-leg trades have negligible effects. These option trade characteristics associated with high price impact in the underlying are also associated with more stock limit-order-book activity within 100 milliseconds of option trades, consistent with the hypothesis where option market makers selectively delta hedge their orders.

Presented at: American Finance Association (PhD Poster), 2026; Southern Illinois University Edwardsville, 2025; Northern Finance Association (PhD poster), 2025; Midwest Finance Association, 2025; Sydney Banking and Financial Stability Conference, 2024; 13th International Conference on Futures and Other Derivatives, 2024; Financial Management Association, 2024; Queen's University, 2023.

Awards: FMA 2024 Best Paper Award Semifinalist (Market Microstructure) 

A Dynamic EMH-Based Measure of Pricing Efficiency and the Efficiency of HFT after FOMC Announcements (with David Harris, Ryan Riordan, and Ying Zhang)

We introduce a dynamic, theory-driven measure of market pricing efficiency grounded in the Semi-Strong Efficient Market Hypothesis (EMH). Our measure quantifies inefficiency by capturing the economic costs incurred from trades executed at prices diverging from post-information equilibrium prices. We empirically implement our measure in the context of high-frequency and algorithmic trading around Federal Open Market Committee (FOMC) announcement. Our findings highlight significant interactions between price evolution and trading volume that previous static or correlation-based efficiency metrics overlook. This dynamic framework provides critical normative insights relevant to technological innovation and market regulation.