I am an Associate Professor of Finance and Hillenbrand Family Faculty Fellow at Boston College.

My research interests are in asset pricing and market microstructure.

Curriculum Vitae

Working Papers

• Unpacking Retail Trading Costs: the Role of Options Trading and Limit Order Usage [7/2025]
with Yashar Barardehi and Dmitriy Muravyev
• Limit orders play an important role for retail trading costs in stocks and options

• A Century of Market Reversals: Resurrecting Volatility [8/2025]
with Blake LeBaron and Jeffrey Pontiff
• We resurrect the role of volatility (relative to volume) for market return autocorrelation

• An Anatomy of Retail Option Trading [2/2025]
with Dmitriy Muravyev
• We offer the first trader-level analysis of modern retail option trading by introducing a novel data set of $15 billion in retail stock and option trades

• Seasonalities in Anomalies
• Several asset pricing anomalies display strong monthly seasonalities that affect their economic interpretation

Publications

• What Drives Momentum and Reversal? Evidence from Day and Night Signals
with Yashar Barardehi and Dmitriy Muravyev
• Review of Financial Studies, Accepted
• Past day and night return signals suggest that underreaction to information conveyed through trading contributes to momentum profits

• Informed Trading Intensity | JF
with Vyacheslav Fos and Dmitriy Muravyev
• Journal of Finance, 2024
• We propose a novel, data-driven, measure of informed trading
• Informed trading measure available here

• Who Trades at the Close? Implications for Price Discovery and Liquidity | JFM
with Dmitriy Muravyev
• Journal of Financial Markets, 2023, Lead Article
• Closing auctions appear to match volumes at low cost
• Media coverage: Bloomberg
• Data available here

• Liquidity, Volume, and Order Imbalance Volatility | JF
with Pierre Collin-Dufresne
• Journal of Finance, 2023
• Motivated by a simple inventory model, high-frequency order imbalance volatility helps explain the dynamics of liquidity
• Data available here

• The Cross-Section of Intraday and Overnight Returns | JFE, Internet Appendix
• Journal of Financial Economics, 2021
• Patterns in intraday average returns of asset pricing anomalies shed light on what drives cross-sectional variation in stock returns

• Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch | JFE, Internet Appendix
with Pierre Collin-Dufresne and Mehmet Sağlam
• Journal of Financial Economics, 2021
• A natural experiment supports theories of inventory shocks and market making capital

• Infrequent Rebalancing, Return Autocorrelation, and Seasonality | JF, Internet Appendix
• Journal of Finance, 2016
• Infrequent rebalancing can explain puzzling return predictability patterns at different frequencies
• NASDAQ OMX - CQA Prize (Runner-up), 2014 EFA Doctoral Tutorial