|• Jan. 2011: AEA meetings, Denver, Colorado
• Feb. 2011: Flyouts
• Mar. 2011: Flyouts, followed by nail biting
|• Mgmt 247, MFE finance, spring 2011
• Job market paper
• Moving to Canada
In August I start in the Bank of Canada's financial markets group. My job is to pursue academic research related to the bank's interests in financial markets, to advise the bank about financial markets developments, and to evaluate financial markets policy.
"Information droughts on the limit order book." The paper asks how traders in an exchange form prices for an asset in an environment in which the asset's value is changing and traders are asymmetrically informed about it. It finds limitations to the informativeness of prices and to the volume of trade. Due to the limitations the exchange is susceptible to droughts in liquidity that can arise endogenously from the order flow.
"Edgeworth price cycles with imperfect monitoring."
"Historical time-series properties of the spread."
I have not actually done any yet. No doubt the bank will be eager to change that.
This is my appearance