PhD in Finance
I am PhD student with the Institute of Financial Analysis at the University of Neuchâtel, Switzerland, supervised by T.A. Kroencke. My thesis consists of three papers in empirical asset pricing and market microstructure. The thesis investigates how microstructure variables affect asset prices.
In the first paper, I develop an efficient estimator of the bid-ask spread from open, high, low, and close prices. The second paper estimates bid-ask spreads for the U.S. stock market since 1926 and it studies the role of the spread in the cross-section of stock returns. In the third paper, I propose a theoretical model of the limit order book and empirically test its implications in the price formation process. The first paper is available at SSRN.
For the empirical analyses, I mainly rely on the CRSP and COMPUSTAT databases. I have also written efficient SAS code to process 200+ TB of high-frequency TAQ data via the WRDS High Performance Computing Cluster.