- Paris Dauphine-PSL University
- DRM (Dauphine Recherches en Management)
MAIN RESEARCH AREAS:
- Empirical finance
- Market microstructure
- Exchange-Traded Funds
RESEARCH PROJECTS/INITIATIVES:
- ETF liquidity and pricing
- Impact of ETFs on their underlying assets
- Order book dynamics
SELECTED PUBLICATIONS:
- Liquidity provision in ETF markets: The basket and beyond, joint with A. Calamia et L. Deville, Finance, vol. 40, n°1, June 2019, 53-85
- ETF Liquidity: What really matters?, joint with A. Calamia et L. Deville, Bankers, Markets and Investors, n°124, May-June 2013, 60-73
- Seasoned Equity Offerings: Stock Market Liquidity and the Rights Offer Paradox, joint with E. Ginglinger et L. Matsoukis, Journal of Business Finance and Accounting, vol. 40, n°1-2, January/February 2013, 215-238
- Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach. Joint with L. Deville, Review of Finance, 11, 3, September 2007, 497-525