Finance
[1]
Loss-versus-fair: Efficiency of Dutch auctions on blockchains. Working paper. Initial version: May 2024. Revised: July 2024.
[pdf]
. [pdf]
[2]
Quantifying price improvement in order flow auctions. Working paper. Initial version: April 2024. Revised: May 2024.
[pdf]
. [pdf]
[3]
Multidimensional blockchain fees are (essentially) optimal. Working paper. Initial version: February 2024.
[pdf]
. [pdf]
[4]
am-AMM: An auction-managed automated market maker. Working paper. Initial version: February 2024. Revised: May 2024.
[pdf]
. [pdf]
[5]
. [6]
Optimal dynamic fees for blockchain resources. In ACM FC 2024: Proceedings of the International Conference on Financial Cryptography and Data Security, forthcoming, May 2023.
[pdf]
. [pdf]
[7]
Automated market making and arbitrage profits in the presence of fees. Working paper. Initial version: February 2023. Revised: May 2023.
[pdf]
. [pdf]
[8]
A Myersonian framework for optimal liquidity provision in automated market makers. In 15th Innovations in Theoretical Computer Science Conference (ITCS 2024), 2024.
[pdf] [doi]
. [pdf] [doi]
[9]
Complexity-approximation trade-offs in exchange mechanisms: AMMs vs. LOBs. In ACM FC 2023: Proceedings of the International Conference on Financial Cryptography and Data Security, pages 326–343, 2023.
[pdf] [doi]
. [pdf] [doi]
[10]
Automated market making and loss-versus-rebalancing. Working paper. Initial version: August 2022. Revised: May 2024.
[pdf]
. [pdf]
[11]
Risk-sensitive optimal execution via a conditional value-at-risk objective. Working paper. Initial version: January 2022.
[pdf]
. [pdf]
[12]
A reinforcement learning approach to optimal execution. Quantitative Finance, 22(6):1051–1069, March 2022.
[pdf] [doi]
. [pdf] [doi]
[13]
A deep learning approach to estimating fill probabilities in a limit order book. Quantitative Finance, 22(11):1989–2003, October 2022.
[pdf] [doi]
. [pdf] [doi]
[14]
. [15]
An economist's perspective on the Bitcoin payment system. In American Economic Association Papers and Proceedings, 109:93–96, May 2019.
[pdf] [doi]
. [pdf] [doi]
[16]
Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution. Operations Research, 70(2):830–846, March–April 2022.
[pdf] [doi] [online supplement]
. [pdf] [doi] [online supplement]
[17]
. [18]
Monopoly without a monopolist: An economic analysis of the Bitcoin payment system. The Review of Economic Studies, 88(6):3011–3040, November 2021.
[pdf] [doi]
. [pdf] [doi]
[19]
A model for queue position valuation in a limit order book. Working paper. Initial version: December 2016. Revised: June 2017.
[pdf]
. [pdf]
[20]
Portfolio liquidity estimation and optimal execution. Working paper. Initial version: December 2016. Revised: August 2019.
[pdf]
. [pdf]
[21]
Optimal execution in a limit order book and an associated microstructure market impact model. Working paper. Initial version: May 2015.
[pdf]
. [pdf]
[22]
Hidden illiquidity with multiple central counterparties. Operations Research, 64(5):1143–1158, September–October 2016.
[pdf] [doi]
. [pdf] [doi]
[23]
Welfare analysis of dark pools. Working paper. Initial version: October 2014. Revised: June 2018.
[pdf]
. [pdf]
[24]
Asset price-based contagion models for systemic risk. Working paper. Initial version: October 2014.
[pdf]
. [pdf]
[25]
Short-term trading skill: An analysis of investor heterogeneity and execution quality. Journal of Financial Markets, 42:1–28, January 2019.
[pdf] [doi]
. [pdf] [doi]
[26]
Strategic asset allocation with predictable returns and transaction costs. Working paper. Initial version: August 2013. Revised: June 2015.
[pdf]
. [pdf]
[27]
Queueing dynamics and state space collapse in fragmented limit order book markets. Operations Research, 69(4):1324–1348, June 2021.
[pdf] [doi]
. [pdf] [doi]
*Honorable Mention, INFORMS Financial Services Section Student Research Paper Competition, 2012
[28]
Dynamic portfolio choice with linear rebalancing rules. Journal of Financial and Quantitative Analysis, 52(3):1247–1278, June 2017.
[pdf] [doi]
. [pdf] [doi]
[29]
Risk estimation via regression. Operations Research, 63(5):1077–1097, September–October 2015.
[pdf] [doi] [online supplement]
. [pdf] [doi] [online supplement]
[30]
Risk estimation via weighted regression. In Proceedings of the 2011 Winter Simulation Conference, pages 3854–3865, December 2011.
[pdf] [doi]
. [pdf] [doi]
[31]
An axiomatic approach to systemic risk. Management Science, 56(6):1373–1388, June 2013.
[pdf] [doi]
. [pdf] [doi]
*Honorable Mention, INFORMS George Nicholson Student Paper Competition, 2011
[32]
Pathwise optimization for optimal stopping problems. Management Science, 58(12):2292–2308, December 2012.
[pdf] [doi] [online supplement]
. [pdf] [doi] [online supplement]
*Best Simulation Publication Award, INFORMS Simulation Society, 2014
[33]
Efficient risk estimation via nested sequential simulation. Management Science, 57(6):1172–1194, June 2011.
[pdf] [doi]
. [pdf] [doi]
[34]
Information aggregation and allocative efficiency in smooth markets. Management Science, 60(10):2509–2524, July 2014.
[pdf] [doi]
. [pdf] [doi]
Preliminary version:
- Information aggregation in smooth markets. In EC '10: Proceedings of the 11th ACM Conference on Electronic Commerce, pages 199–206, June 2010.
[doi] .
[35]
The cost of latency in high-frequency trading. Operations Research, 61(5):1070–1086, September–October 2013.
[pdf] [doi]
. [pdf] [doi]
*1st Place, INFORMS Financial Services Section Student Research Paper Competition, 2011
Selected for publication in the Operations Research Forum
Selected for publication in the Operations Research Forum
[36]
.