Publications

Publication list

Working papers

List of older working papers

Conferences organized

Heterogeneous Agents and Agent-based Modeling (Washington, DC, 2017)

Summary of recent working papers

  1. Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book Model
    • Joint with: Andrew Hawley, Mark Paddrik, and Nathan Palmer
    • Abstract: This preliminary paper extends the dynamics of a basic stylized limit order book model introduced in \mycite{ChiIor2002}. The original model is capable of generating some key market microstructure features, but it cannot recreate longer range persistence in volatility. We explore a very simple and intuitive addition to the stylized, near zero intelligence behavior of traders that is capable of delivering persistent volatility. We also show that this strategy depends critically on certain key features in the dynamics of supply and demand for liquidity and depth in the limit order book. We believe this is fundamental to understanding both the dynamics of volatility in financial time series, along with variations in liquidity in financial markets. We contribute a parsimonious agent-based model to the literature that may be used as a test bed or sandbox for developing agents with more complex behavior.
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  2. A Century of Market Reversals: Resurrecting Volatility
    • Joint with: Vincent Bogousslavsky and Jeffrey Pontiff
    • Abstract: Inventory models posit that return autocorrelation is affected by collateral, volume, and expected volatility. We show that daily market autocorrelations are lower on negative return days, consistent with collateral concerns. Unlike previous literature, we document a strong role of volatility on autocorrelation. Puzzlingly, anticipated volume, not volume shocks, drive reversals. Sparked by these findings, we construct a liquidity risk factor in accordance with Pastor-Stambaugh (2003) that is volatility, not volume, based. The volatility-based factor is more robust and has a higher risk premium than the volume-based factor.
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  3. Epidemics with Space, Movement, and Asymptomatic Spreading
  4. Forecasting Realized Volatility with Kernel Ridge Regression
  5. Optimality of Short Term Rules of Thumb at Long Horizons for an Agent-based Financial Market