(with Marcin Kacperczyk). Resubmitted to The Journal of Finance. 2020 AFA, 2020 LSE-Chicago U. Economics of Crime, 2020 UNC Asset Pricing, 2019 SFS Cavalcade. 2018 NBER Summer Institute, 2018 EFA. Paper.

Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and anticipates penalties in proportion to trade profits. Our findings lend support to the effectiveness of U.S. regulations’ deterrence and the long-standing hypothesis that insider trading enforcement can hamper price informativeness.

"Non-Standard Errors" New Paper November 2021.

(with Albert Menkveld et al.). Paper.

In statistics, samples are drawn from a population in a data- generating process (DGP). Standard errors measure the uncer- tainty in sample estimates of population parameters. In sci- ence, evidence is generated to test hypotheses in an evidence- generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sam- ple. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.

"Competing on Speed”

(with Thomas Philippon) Econometrica, Vol 86, May 2018. Project awarded with a grant from the Smith Richardson Foundation. NBER Working Paper 17652. AEA, WFA, Paper, Online Appendix

We analyze trading speed and fragmentation in asset markets. In our model, trading venues make technological investments and compete for investors who choose where and how much to trade. Faster venues charge higher fees and attract speed-sensitive investors. Competition among venues increases investor participation, trading volume, and allocative efficiency, but entry and fragmentation can be excessive, and speeds are generically inefficient. Regulations that protect transaction prices (e.g., Securities and Exchange Commission trade-through rule) lead to greater fragmentation. Our model sheds light on the experience of European and U.S. markets since the implementation of Markets in Financial Instruments Directive and Regulation National Markets System.


The Review of Financial Studies (forthcoming). Winner of the Best Cryptoeconomics Paper Award at the 2nd Toronto Fintech Conference. 2020 AEA, 2020 WFA, 2019 FIRS, 2019 EFA. Paper

We address the determination of bitcoin prices and decentralized security. Users forecast the transactional and resale value of holdings, pricing the risk of malicious systemic attacks. Miners contribute resources to protect against attackers, competing for block rewards. Bitcoin’s design leads to multiple equilibria: the same technology and fundamentals are consistent with sharply different price and security levels. Bitcoin’s monetary policy can lead to welfare losses and deviations from quantity theory. Price–security feedback amplifies fundamental shocks’ volatility impact and leads to boom–busts not driven by fundamentals. We show how Bitcoin’s viability versus fiat currency depends on relative acceptability and inflation protection.

"Chasing Private Information"

(with Marcin Kacperczyk). The Review of Financial Studies, Volume 32, December 2019. WFA 2016, 2017 NBER LTAM, 2017 NBER Asset Pricing SI, FIRS 2017. Paper.

Using over 5000 equity and option trades unequivocally based on nonpublic information about firm fundamentals, we find that commonly used asymmetric information proxies (AIPs) display abnormal values on days with informed trading. Volatility and trading volume are abnormally high, whereas illiquidity is low, both in equity and option markets. Daily returns reflect the sign of private signals but, on average, bid–ask spreads are 10% and 20% lower when informed investors are present in stock and option markets. Market makers’ learning under event uncertainty and the use of limit orders by informed investors help explain these findings. We characterize cross-sectional responses based on the duration of private information and find that informed traders select days with high uninformed volume to trade. Evidence from the U.S. Securities and Exchange Commission (SEC) Whistleblower Reward Program and the Financial Industry Regulatory Authority (FINRA) involvement address potential selection concerns.

"Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets"

(with Albert Menkveld and Marius Zoican). R&R requested by The Journal of Financial Economics. Paper

We investigate the effects of introducing a central clearing counterparty (CCP) on price volatility by adopting as an experimental construct the 2009 clearing reform in three Nordic markets. A key feature of this event is that the transition from bilateral to central clearing was mandatory for all market participants. We find that, relative to similar European stocks, price volatility in these Nordic equities experience an economically significant decline of 8.8% relative to pre-reform levels. The decrease in volatility is more pronounced for stocks with higher margin cost impact, consistent with the predictions of recent dynamic asset pricing models. We also find that the reform induces a sharp decline of 11% in trade volume, but no deterioration of market quality as captured by measures of trading costs and price informativeness. Overall, our results highlight that the adoption of central clearing enhances price stability. Our results also suggest that there is an important coordination role for policy as, when given the option, investors failed to voluntarily clear trades in the CCP.

"SPEED, FRAGMENTATION, AND ASSET PRICES" new version coming soon.

2018 RED Fragmentation Conference, AFA, WFA, SFS Cavalcade, CEPR-Brevan Howard. Reject and resubmit at The Journal of Finance. Paper, Online Appendix

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Trading venues invest in speed-enhancing technologies and price trading services to attract investors. Investors trade due to preference shocks. We show how the resulting market organization affects asset liquidity and the composition of par- ticipating investors. In a consolidated market, speed investments raise liquidity and prices. When markets fragment, liquidity and asset prices can move in opposite directions. We also show how mechanisms that protect execution prices, such as the SEC’s trade-through rule, can decrease price levels and trading volume relative to unregulated markets. Our results suggest that recent regulatory reforms in secondary markets may have unintended negative consequences for public corporations.


This paper studies an asset market where, as in major world exchanges, informed and liquidity investors continuously control the timing of orders and whether to take or provide liquidity. In equilibrium, investors demand and supply liquidity simultaneously, following distinctive time-varying patterns previously found in experiments. The resulting linkages between prices, order frequency and depths shed light on empirical regularities. By nesting limit-order and dealer markets, I find that the speed of information transmission is higher in the former and increases with investor sophistication. Evidence from proprietary NYSE data provides support for the implied liquidity provision behavior of investors.

"An Equilibrium Valuation of Bitcoin and Decentralized Network Assets"

(with Andrea Buraschi). 2019 AFA, 2018 NBER Asset Pricing Summer Institute, 2018 Finance Theory Group, London. #1 SSRN paper April 2018. Paper

We address the valuation of bitcoins and other blockchain tokens in a new type of production economy: a decentralized financial network (DN). An identifying property of these assets is that contributors to the network trust (miners) are compensated in units of the same asset that are used by consumers of network applications, which we call unity. As a result, the overall production (hashrate) that affect network trust and the bitcoin price are jointly determined. We characterize the demand for bitcoins and the supply of resources that secure the network and show that the valuation of bitcoins can be obtained by solving a fixed-point problem and study its determinants. We show that the unity property induces “price-hashrate spirals” that amplify the price impact of demand and supply shocks vis-à-vis traditional assets.

Work in Progress

  • "Information Spillovers" (with Marcin Kacperczyk)
  • "Regulators’ Incentives and the Prosecution of Insider Trading" (with Marcin Kacperczyk and Natasha Sarin)
  • "Bitcoin versus Central Bank Digital Currencies"
  • "Scaling Blockchains Through Lightning"
  • "Secondary Market Frictions and Primary Financing Costs"


  • "Speed Competition and Fragmentation in Financial Markets" (Fall 2012), Center for the Study of Financial Regulation, University of Notre Dame.
  • "Dilemas de la Politica Comercial Externa Argentina" (with Roberto Bouzas) 2003, Siglo XXI. Amazon.com link.


  • Comment to the SEC on Reg NMS Rule 611 (April 2015).