research
publications
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation with Marco Cipriani (NY Fed) and Antonio Guarino (UCL), Journal of Financial Economics, volume 146(3), 2022.
Artificial Intelligence and Systemic Risk with Jon Danielsson (LSE) and Robert Macrae (LSE), Journal of Banking & Finance, volume 140 (special issue on institutions, risk measures, and portfolio optimization), 2022.
working papers
Market Segmentation Across Stocks, Bonds, and Derivatives with Milena Wittwer (Boston College)
Demand-Driven Risk Premia in FX and Bond Markets with Ingomar Krohn, Rishi Vala and Jun Yang (Bank of Canada)
The calming of short-term market fears and its long-term consequences: The central banks’ dilemma with Jon Danielsson (LSE), Lerby Ergun (Bank of Canada), Mattia Bevilacqua (University of Liverpool) and Jean-Pierre Zigrand (LSE), R&R at The Journal of Money, Credit & Banking.
Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service with Lerby Ergun (Bank of Canada), R&R at The Journal of Finance.
[Winner of Best Paper Award, Econometric Society European Meeting 2017]
policy papers
Artificial intelligence and financial crises with Jon Danielsson (LSE), 2024.
On the use of artificial intelligence in financial regulations and the impact on financial stability with Jon Danielsson (LSE), 2024. VoxEU column: How AI can undermine financial stability
How big is cash-futures basis trading in Canada’s government bond market? with Rishi Vala (Bank of Canada), Bank of Canada Staff Analytical Note, 2024.
COVID-19 Crisis: Lessons Learned for Future Policy Research with Jean-Sebastien Fontaine, Corey Garriott, Jesse Johal and Jessica Lee (Bank of Canada), Bank of Canada Staff Discussion Paper, 2021.