About Me

I am a finance professor at the University of Toronto since 2018. I study the impact of technology on trading, securities exchanges, and asset management, and I try to understand how we can leverage innovation to build better markets. My research was published in leading academic journals such as The Review of Financial Studies, Management Science, and Journal of Financial Markets.

Download my resumé.

Interests
  • Securities exchanges
  • Financial technology (FinTech)
  • Experimental finance
Education

  • PhD in Finance, 2015

    VU University Amsterdam

  • MPhil in Financial Economics, 2012

    Tinbergen Institute Amsterdam

  • BA in Finance, 2010

    Bucharest School of Economics

What’s new?

Liquidity fragmentation on decentralized exchanges
Joint with Alfred Lehar and Christine Parlour.
Last updated on Nov 14, 2022
Do high-frequency market makers share risks?
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Jul 15, 2022
Code
Does gamified trading stimulate risk taking?
Joint with Philipp Chakpovski and Mariana Khapko. Revise & Resubmit at Management Science.
Last updated on Dec 28, 2022

Upcoming talks

University of New South Wales
Paper TBD 11/10/23
Monash University
Paper TBD 11/08/23
ERMAS 2023
Trading gamification and investor behavior 07/26/23
FIRS 2023
Liquidity fragmentation on decentralized exchanges 06/02/23

Selected Publications

How fast should trades settle?
Management Science, 2020, 66(10), 4573-4593.
Last updated on Oct 28, 2021
PDF Cite DOI
Need for Speed? Exchange Latency and Liquidity
The Review of Financial Studies, 2017, 30(4), 1188-1228.
Last updated on Oct 28, 2021
PDF Cite DOI

Other Publications

Non-Standard Errors
Journal of Finance, forthcoming.
PDF DOI
Liquid speed: A micro-burst fee for low-latency exchanges
Journal of Financial Markets, 2022, 100785
PDF Cite DOI
On-demand fast trading on decentralized exchanges
Finance Research Letters, 2023, 51 (January), 103350
PDF Cite DOI
Do speed bumps curb low-latency investment? Evidence from a laboratory market
Journal of Financial Markets, 2021, 55 (September), 100601 (Lead Article).
PDF Cite Dataset DOI
Speed and learning in high-frequency auctions
Journal of Financial Markets, 2021, 54 (June), 100583 (Lead Article).
PDF Cite DOI
Too-international-to-fail? Supranational bank resolution and market discipline
Journal of Banking and Finance, 2016, 65, 41-58.
PDF Cite DOI

Working papers

*
All Revision requested Working Paper
The Value of ETF Liquidity
Joint with Marta Khomyn and Tālis J. Putniņš. Revise & Resubmit at Review of Financial Studies
Last updated on Nov 23, 2022
Liquidity fragmentation on decentralized exchanges
Joint with Alfred Lehar and Christine Parlour.
Last updated on Nov 14, 2022
Do high-frequency market makers share risks?
Joint with Corey Garriott and Vincent van Kervel.
Last updated on Jul 15, 2022
Code
Does gamified trading stimulate risk taking?
Joint with Philipp Chakpovski and Mariana Khapko. Revise & Resubmit at Management Science.
Last updated on Dec 28, 2022
Retail Trading and Analyst Coverage
Joint with Charles Martineau. Revise & Resubmit at Journal of Financial Markets.
Last updated on Oct 12, 2022
A machine learning measure of analyst report contribution
Joint with Charles Martineau.
Last updated on Oct 28, 2021
Code
Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets
Joint with Albert Menkveld and Emiliano Pagnotta.
Last updated on Oct 12, 2022

In progress

Courses

MGT443 - Topics in Asset Pricing.
Advanced undergraduate course on quantitative finance. I cover the management of large data sets (e.g., trade-and-quote data), portfolio management and return factor models, option pricing, prediction algorithms, and stochastic price models. All topics are implemented in Python.
Last updated on Oct 28, 2021
MGT330 - Investments
Intermediate investments course. I cover equity valuation, performance measurement, managing trading and funding liquidity, and fixed income strategies. This course is required for the Bachelor of Commerce, Finance track.
Last updated on Oct 28, 2021

Research funding

SSHRC Insight Development Grant ($49,027)
Social Sciences and Humanties Research Council of Canada 2020
Technology and Information Supply in Modern Financial Markets (joint with Charles Martineau)
Research Grant ($40,000)
Canadian Securities Institute Research Foundation 2018
Delegated Asset Manangement in the Digital Age (joint with Clare Célérier and Mariana Khapko)
SSHRC Insight Development Grant ($41,179)
Social Sciences and Humanties Research Council of Canada 2018
Speed and Market Structure in the Digital Age (joint with Mariana Khapko)
JCJC Young Researcher Grant (€170,000)
Agence Nationale de la Recherche (France) 2017
MIDAS: Market Design in the Digital Age

Honours and awards

Best paper semifinalist (Microstructure)
Financial Management Association 2021
Awarded for The Value of ETF Liquidity project.
Josseph de la Vega Award Runner-up
Federation of European Exchanges (FESE) 2021
Annual award for outstanding research on securities markets in Europe. Awarded for Liquid Speed: A Micro-burst Fee for Low-Latency Exchanges.
Outstanding Paper in Investments
Southern Finance Association 2020
Awarded for Crowded Analyst Coverage.
Best Paper Runner-Up
Toronto FinTech Conference 2017
Awarded for Smart Settlement.
Josseph de la Vega Award Winner
Federation of European Exchanges (FESE) 2016
Annual award for outstanding research on securities markets in Europe. Awarded for Speed and Learning in High-Frequency Batch Auctions.
Outstanding Paper in Investments
Eastern Finance Association 2014
Awarded for Need for Speed? Exchange Latency and Liquidity.

Public debate

Comment on the launch of VanEck Bitcoin ETF
Securities and Exchanges Commission 2021-06
Comment on IEX’s D-Limit Order Proposal
Securities and Exchanges Commission 2020-01

Media

Is gamification in fintech hurting investors?
Financial Planning 2022-03-03
Canada’s clampdown on protest funding may be a challenge for financial sector
Reuters 2022-02-02
The benefits and risks of using ‘gamified’ investing apps
BNN Bloomberg 2022-02-02
‘Gamified’ apps push DIY traders to make riskier investments: Study
Toronto Star 2022-01-01
Canadian Liberals' promised hike in bank taxes could lead to job cuts, higher borrowing costs
Reuters 2021-09-09
Interview on Wealthsimple’s $750 million funding round.
Global News 2021-05-05
Canada stock market rules curb platforms linked to churning U.S. stocks
Reuters 2021-02-02
Canadian exchange operator TMX to start 23h derivatives trading to lure Asian investors
Reuters 2021-01-01
Gaps in Canadian surveillance technology spark concerns about traders working from home
Reuters 2020-07-07
Covid-19 forced trading floors to close. They’ll be back.
The Economist 2020-05-05
Why zero-fee funds may not be the best option for investors.
Canadian Investment Review 2019-09-09
Liquid trading speed and decentralized exchanges
Machine Lawyering Blog (CUHK Law School) 2019-08-08
Exchanges Can Ruin High Frequency Trading Benefits
Bloomberg News 2014-05-05

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