I have always had an interest in the role that information plays in everyday life: what we choose to convey and how we choose to convey it. I am fascinated by just how much we can say through our actions – as well as our inactions. My initial interest in information games began during my studies in economics, but was later directed to finance during my PhD, in part because trading in financial markets often abstracts from the complications of personal taste preferences, focusing on the common goal of investment returns.
My focus is in the field of market microstructure. Here, we study how the design of markets for securities exchange – stock exchanges being the most common – can facilitate two important goals of these markets: to allow individual investors to acquire and liquidate financial assets with ease, and to learn through trading about the evolving value of assets over time. While seemingly related, these two goals tend to work against each other, and it becomes an important market design problem to balance the achievement of these goals to maximize market efficiency and social welfare.
My research focuses on innovations to equity markets, theoretically predicting the impacts on the efficiency of markets and welfare of investors that arise from introducing new market designs and features: from trading fee structures to dark pools and most recently to exchange “speed bumps.” For many of these innovations, the marginal impact may be just a small fraction of a penny per transaction but it is always quite astonishing that the combined impact can often be in the billions of dollars.
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