The main objective of my work is to analyze, both theoretically and empirically,
the impact of important (albeit often ignored) features of trading and human behavior
on the process of price formation in domestic and international equity, government and
corporate bond, currency, and real estate markets.
In particular, my research explores how the introduction of realistic financial
frictions – such as price manipulation, information asymmetry and heterogeneity,
and imperfect competition among agents – or features of human behavior – such as loss
aversion and risk seeking in losses – into models of rational trading may explain
such phenomena as the occurrence and propagation of financial crises, excess
comovement among asset prices, time-series and cross-sectional properties of liquidity,
and the effectiveness of Central Bank intervention.
I explore the relevance of these considerations in three areas: Information & prices;
Excess comovement & financial crises; Foreign exchange.
In this three-part section you will find a collection of my published papers, working
papers, and permanent working papers on each of these topics.
