research
publications
Artificial intelligence and financial crises with Jon Danielsson (LSE), Journal of Financial Stability, volume 80(101453), 2025.
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
Specialization in Financial Markets with Milena Wittwer (Columbia University).
Demand-Driven Risk Premia in FX and Bond Markets with Ingomar Krohn, Rishi Vala and Jun Yang (Bank of Canada).
Central Bank Crisis Interventions and the Term Structure of Market Fear 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.
policy briefs
Hedge funds and their trading strategies in the Government of Canada bond market with Adrian Walton (Bank of Canada), Sparks at Bank, 2026.
The Dealer-to-Client Repo Market: A Buoy on a Swaying Sea with Greg Adams (Wharton), Evan Dudley (Queen’s), Jean-Sebastien Fontaine, Sofia Tchamova (Bank of Canada), Bank of Canada Staff Analytical Note, 2025.
The impact of trading flows on Government of Canada bond prices with Rishi Vala and Jun Yang (Bank of Canada), Bank of Canada Staff Analytical Note, 2025.
How central banks can meet the financial stability challenges arising from artificial intelligence with Jon Danielsson (LSE), SUERF Policy Brief No. 1163, 2025.
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.
How AI can undermine financial stability with Jon Danielsson (LSE), VoxEU Column, 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.
Artificial intelligence as a central banker with Jon Danielsson and Robert Macrae (LSE), VoxEU Column, 2020.