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My main research focuses on theoretical market microstructure and its links with asset pricing. My work in this area contributes to the understanding of (i) how market makers optimally make offsetting trades in the presence of asymmetric information and inventory risk and its impact on asset pricing; (ii) the optimal speed of trading by large asset managers who seek out risks to exploit private information about individual stocks and how the interactions among asset managers affect market stability and liquidity; and (iii) the effects of market frictions such as margin requirements, short-sale constraints, information asymmetry, transaction costs, and imperfect competition on asset prices, market volatility, market illiquidity, and social welfare. I also have two papers in the area of portfolio choice. My research in this area has shown that (i) taking into account market closure can help explain the liquidity premium puzzle; (ii) in contrast to the existing literature, a general characterization of the impact of risk aversion on the optimal portfolio payoff distribution is possible even in a multiple-risky-asset setting.