Asset Pricing
Tail Risk
Macrofinance
Algorithmic Trading
Computational Finance
Dissecting the Equity Premium
with David Schreindorfer. Journal of Political Economy, 2022, 130(8): 2203-2222.
Publisher Link SSRN Online Supplement
The Anatomy of Trading Algorithms
with Sunil Wahal. SSRN
Cash Flows in Equilibrium Asset Pricing Models
Latest Draft
The Mathematics of Terminal Wealth
Draft coming soon.
Heterogeneity and Household Portfolio Choice
Revised draft coming soon.
Simulation of a Financial Market: The Possibility of Catastrophic Disequilibrium
with Amit Sinha, Kelly Roos, & Philip Horvath. Chaos, Solitons, & Fractals, 2019, 125, 13-16. Publisher Link