(1) Media Attention, Macroeconomic Fundamentals, and Stock Market Activity. (SSRN) With Adlai J. Fisher and Jinfei Sheng (New version available soon)
We create daily indices of media attention to macroeconomic fundamentals including unemployment, output growth, inflation, monetary policy, exchange rates, and oil prices. Attention is linked to variations in stock market implied volatility and trading volume.
Investors lower their expectations of major policy actions on days without press conferences.
Work in Progress:
(1) How Markets Process Firm News (thesis chapter 1 and JMP)
(2) Stock Price Formation around Macroeconomic Announcements (thesis chapter 2)
Research Assistance (at UBC):
Calvet, L., Fearnley, M., Fisher, A., and Leippold, M. (2015) What's Beneath the Surface? Option Pricing with Multifrequency Latent States. Journal of Econometrics.
Calvet, L. and Fisher, A. (2013) Extreme Risk and Fractal Regularity in Finance. Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, American Mathematical Society.
Published Research (at HEC Montreal):
Do Political Institutions Affect the Choice of the U.S. Cross-Listing Venue? with Jean-Claude Cosset and Anis Samet. Journal of Multinational Financial Management.
International Involvement of Established SMEs: A Systematic Review of Antecedents, Outcomes, and Moderators with David Pastoriza-Rivas. International Business Review.
Published Business Case Study (at HEC Montreal):
iMag. with David Pastoriza Rivas. (2013). International Journal of Business Case Studies in Management. Available on Harvard Business Publishing.
Microstructure Data Codes:
TotalView ITCH 4.1 (SAS, as of Aug. 2013) available here.
I will post additional codes for ITCH 4.1 and 5.0 using Python. Vincent Gregoire and I are currently working on a Python package to process ITCH data. SAS is definitely not appropriate to handle ITCH data but useful for initial understanding of the data.