I am an Assistant Professor of Finance at Boston College. My research interests are in asset pricing and market microstructure.

Curriculum Vitae

Working Papers

  • A Century of Market Reversals: Resurrecting Volatility (draft available upon request)
  • with Blake LeBaron and Jeffrey Pontiff
  • Seasonalities in Anomalies
    • Several asset pricing anomalies display strong monthly seasonalities that affect their economic interpretation


  • Informed Trading Intensity
  • with Vyacheslav Fos and Dmitriy Muravyev
  • Journal of Finance, forthcoming
    • A data-driven measure of informed trading complements existing theoretical measures and provides new insights about informed trading
  • Liquidity, Volume, and Order Imbalance Volatility | JF
  • with Pierre Collin-Dufresne
  • Journal of Finance, 2023, 78(4): 2189-2232
    • Motivated by a simple inventory model, high-frequency order imbalance volatility helps explain the dynamics of liquidity and is priced in the cross-section of stock returns
    • Data available here