Finance - Research Publications
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ItemRetail Trading in European Equity Markets(University of Melbourne, Faculty of Business and Economics, 2023)Recent growth in retail trading in global equity markets has drawn considerable attention to the execution of retail flows. European market operators offer diverse retail trading mechanisms: both retail-specific mechanisms and all-to-all trading mechanisms that allow the interaction of all trader types. Retail-specific trading mechanisms are categorized into Single Market Maker and Competing Market Maker mechanisms. Markets also differ on other dimensions such as the way market makers compete, the number of reference markets, order flow segmentation, explicit costs, and Payment for Order Flow (PFOF). Using the findings from the existing literature this paper argues in favor of competition between market makers, the use of a consolidated market view as the reference price and less segmentation. It also raises questions about potential conflicts arising from low or zero explicit costs and PFOF. The paper also recommends that policy makers can improve retail execution quality by requiring additional transparency around retail trades and implementing a consolidated tape.
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ItemInsider trading(Springer Science and Business Media LLC, 2023)This paper describes a dataset capturing insider trading activity at publicly traded companies. Investors and investment analysts demand this information because executives, directors and large shareholders are expected to have more intimate knowledge of their company’s prospects than outsiders. Insider stock sales and purchases may reveal information about the firm’s business not disclosed in financial statements. They may also convey new information predictive of stock price movements if insiders can better interpret public information about the firm. Since mid-2003, the Securities and Exchange Commission has made these insider trading reports available to the public in a structured format; however, most academic papers use proprietary commercial databases instead of regulatory filings directly. This makes replication challenging as the data manipulation and aggregation processes are opaque and historical records could be altered by the database provider over time. To overcome these limitations, the presented dataset is created from original regulatory filings; it is updated daily and includes all information reported by insiders without alteration.
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ItemPermanent private equity: Market performance and transactions(WILEY, 2022-05-03)
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ItemForecasting variance swap payoffs(WILEY, 2022-12-01)
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ItemTask-independent metrics of computational hardness predict human cognitive performance(NATURE PORTFOLIO, 2022-07-28)The survival of human organisms depends on our ability to solve complex tasks in the face of limited cognitive resources. However, little is known about the factors that drive the complexity of those tasks. Here, building on insights from computational complexity theory, we quantify the computational hardness of cognitive tasks using a set of task-independent metrics related to the computational resource requirements of individual instances of a task. We then examine the relation between those metrics and human behavior and find that they predict both time spent on a task as well as accuracy in three canonical cognitive tasks. Our findings demonstrate that performance in cognitive tasks can be predicted based on generic metrics of their inherent computational hardness.
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ItemNo Preview AvailableCaloric Primary Rewards Systematically Alter Time Perception( 2017-04-26)Human time perception can be influenced by contextual factors, such as the presence of reward. Yet, the exact nature of the relationship between time perception and reward has not been conclusively characterized. We implemented a novel experimental paradigm to measure estimations of time across a range of suprasecond intervals, during the anticipation and after the consumption of fruit juice, a physiologically relevant primary reward. We show that average time estimations were systematically affected by the consumption of reward, but not by the anticipation of reward. Compared with baseline estimations of time, reward consumption was associated with subsequent overproductions of time, and this effect increased for larger magnitudes of reward. Additional experiments demonstrated that the effect of consumption did not extend to a secondary reward (money), a tasteless, noncaloric primary reward (water), or a sweet, noncaloric reward (aspartame). However, a tasteless caloric reward (maltodexrin) did induce overproductions of time, although this effect did not scale with reward magnitude. These results suggest that the consumption of caloric primary rewards can alter time perception, which may be a psychophysiological mechanism by which organisms regulate homeostatic balance.
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ItemInferences regarding oneself and others in the human brain.(Public Library of Science (PLoS), 2022-05)The human brain can infer one's own and other individuals' mental states through metacognition and mentalizing, respectively. A new study in PLOS Biology has implicated distinct brain regions of the medial prefrontal cortex (PFC) in metacognition and mentalizing.
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ItemNo Preview AvailableTime to acquire: Regulatory burden and M&A activity(Elsevier BV, 2022-07)Firms go public to make acquisitions, but private firms benefit from lower regulatory cost. Investment by newly public firms may be limited if managers need to focus on compliance instead of growth. Exploiting a 2012 US policy reform, we show that when regulatory cost is lower, firms make more acquisitions, do so more quickly after listing, and also increase other forms of investment. Examining potential unintended consequences of reduced regulation, we find that opportunistic bidding arising from higher information asymmetry does not explain these results. We inform the ongoing policy debate on broadening the scale and scope of regulatory relief.
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ItemNo Preview AvailableEvolution of a dealer trading network and its effects on art auction prices(ELSEVIER, 2022-03-31)
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ItemNo Preview AvailableDo state visits affect cross-border mergers and acquisitions(ELSEVIER, 2021-02-01)