Research

Research Interests
  • Asset Pricing

  • Tail Risk

  • Macrofinance

  • Algorithmic Trading

  • Computational Finance

Publications

Dissecting the Equity Premium
with David Schreindorfer. Journal of Political Economy, 2022, 130(8): 2203-2222.
Publisher Link SSRN Online Supplement


Working Papers

The Anatomy of Trading Algorithms
with Sunil Wahal. SSRN

Cash Flows in Equilibrium Asset Pricing Models
Latest Draft


Work in Progress

The Mathematics of Terminal Wealth
Draft coming soon.

Heterogeneity and Household Portfolio Choice
Revised draft coming soon.


Pre-PhD Work

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