I an assistant professor of Finance at the University of Illinois at Urbana-Champaign. My research interests center on the areas of behavioral finance, macroeconomics, and real estate finance.
Scale is a fundamental feature of modern asset markets. e.g., in a single midtown Manhattan office suite, traders sitting next to one another might be trading anything from currencies to commodity futures to stocks at horizons ranging from order per millisecond to trade per quarter. What’s more, every trader in the building will be sitting in front of several computer monitors and keeping an eye on a TV tuned to CNBC in order to manage the deluge of information coming in from company officials, market analysts, and computer models. The sheer size and speed of the enterprise impacts how traders behave. More is different.
By contrast, most asset pricing models are scale free. i.e., they study only a single stock/strategy and assume that the same asset pricing model holds at all horizons. I am interested in how the scale of modern financial markets shapes traders’ decision making, econometricians’ inference problem, and the information content of prices. My research papers aim to show how more is different in the context of financial markets.
Phone: (916) 709-9934