My research interests lie in empirical asset pricing and market microstructure. In particular, I examine the trading behaviour of different market participants and how this will affect market dynamics, including price and liquidity. My current projects focus on market makers in the ETF market.

Working papers

Liquidity provision in the Exchange Traded Fund market, with Carole Comerton-Forde, and Zhuo Zhong
[Paper]

ETF Designed Market Makers (DMMs) retreat from liquidity provision when the intraday deviation between ETF market prices and indicative net asset values (intraday tracking error) increases. This because DMMs consider intraday tracking error as potential adverse selection risk imposed by ETF arbitrageurs.

Work in progress

ETF off-exchange trading and order segmentation

ETF internalization relates to lit market quoting and the creation and redemption of ETF shares.

Publications

(Pre-PhD) Enhance the profitability of lottery strategies, with Kyung Yoon Kwon, and Byoung-Kyu Min
Journal of Empirical Finance, Volume 69, December 2022, p.166-184