Research

Working Papers

“Seconds out: liquidity risk and the secondary market in private equity.”
with Marco Ferrari and Matthias Feiler, 2018. Working Paper.

“Which Factors are behind Value Creation Drivers of Private Equity Returns?”
with Murat Sümer and Matthias Feiler, 2018. Working Paper.

“A Model of Price Impact and Market Maker Latency.” 2016 Download preliminary version.

“High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation.” with Alexandre Ziegler, 2015. link.

“Social Ties Maintain Stability in Informal Economies.” with Eloy Fisher, Sharon Greenblum and Carolina Mattsson, 2015 Working paper.

Publications

“Price Impact and Bursts in Liquidity Provision.” with R. Genay, S. Mahmoodzadeh and M. C. Tseng, 2018. Quantitative Finance. DOI link.

“Bankruptcy Triggering Asset Value- Continuous Time Finance Approach.” 2014 in Modelling, Dynamics, Optimization and Bioeconomics I, Springer, p. 357 – 382. with Karel Janda. link.

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