* I will be on the job market this coming Winter 2017 (AFA / ASSA Meeting)
Job Market Paper:
The Dynamics of Price Formation around Earnings News. (copy available soon)
Media Attention to Macroeconomic Fundamentals:
What Drives Attention and What Does it Mean for
the Aggregate Stock Market?(SSRN) With Adlai J. Fisher and Jinfei Sheng. Latest version, Sept. 2016.
We create nine daily indices of media attention to macroeconomic fundamentals including unemployment, output growth and monetary policy. Attention is linked to variations in stock market implied volatility and trading volume and attention to unemployment predicts unemployment rate surprises.
Investors lower their expectations of major policy actions on FOMC days without press conferences.
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.