Research Interests

While I was at NASD Economic Research, one of the primary responsibilities of our group was to conduct market microstructure research -- the analysis of the basic functioning of the market, generally to determine or predict the effect of changes on the marketplace. Examples of such changes include implementation of exchange rules or policies, changes in the composition and behavior of market participants, and alterations in market-related conditions (e.g., economic factors, etc.). Variables of interest include measures of "market quality," such as bid-ask spread (representative of the cost of retail trades), market depth, and liquidity, among many others. Typically, microstructure research requires massive amounts of data, including audit trail databases of trades and quotation updates, which frequently constitute over a million observations per trading day. At present, I'm interested in three research topics along these lines, which are briefly discussed below.


I've co-authored the following papers (available in Adobe Acrobat):

Useful Research Links

[ Journal of Business / Journal of Finance / Journal of Financial and Quantitative Analysis / Journal of Financial Economics / Journal of Financial Intermediation / Journal of Financial Markets / Review of Financial Studies ]