Welcome
I am a PhD student in finance from Stockholm Business School, Stockholm University. My research interests focus on market microstructure, in particular algorithmic trading and market design. I am on the job market 2022/2023 and available for European Job Market interview.
Research
Latency arbitrage and market liquidity
Job market paper
Abstract
There is an increasing concern that fast trading firms magnify adverse selection costs and illiquidity by picking off stale quotes. In this paper, I find that banning fast arbitrageurs from taking liquidity improves liquidity at the treated exchange without aggravating adverse selection at exchanges without the ban. After aggressive proprietary trading dropped to almost 0 at the treated exchange due to the ban, bid-ask spreads declined by 11% and adverse selection costs declined by 21%. Liquidity providers earned higher realized spreads and quoted higher volume at better prices. Furthermore, toxic arbitrage trades from the fast traders declined by 11% and the decline is most significant at MTFs without the ban but heavily hit by toxic arbitrage. The findings imply that banning latency arbitrage on one exchange reduces toxic arbitrage marketwide, which is in line with the prediction of Foucault et al. (2017) that fewer fast arbitrage opportunities lower latency arbitrage and adverse selection overall.
Market centralization, liquidity, and efficiency
with Björn Hagströmer and Michał Dzieliński
Abstract
This paper investigates the market quality effects of centralized stock trading. Following a breakdown of EU-Swiss equivalence rules, the Swiss stock market suddenly transitioned from being highly fragmented to be almost perfectly centralized in July 2019. We find that the change undermined both market liquidity and market efficiency of Swiss stocks, relative to other securities that were unaffected by the event. The results support theoretical predictions indicating that market centralization reduces depth by constraining order splitting.
Tick size, lot size, and liquidity in futures trading
with Lars Nordén and Caihong Xu
CV
EDUCATION
Stockholm University, Stockholm, Sweden
Ph.D. Candidate in Finance, 2018 – present (expected June 2023)
Supervisors: Björn Hagströmer, Lars Nordén, and Michał Dzieliński
Research interests: market microstructure, market design, algorithmic trading
Stockholm School of Economics, Stockholm, Sweden
M.Sc. in Finance, 2015 – 2018
Master Thesis: “Do Managers Overreact to Natural Disasters?”
Southwestern University of Finance and Economics, Chengdu, China
B.Econ. in Finance, 2011 – 2015
Bachelor Thesis: “Do Institutional Investors Drive up the Interest Rate and Default Rate of P2P Lending Platform? Evidence from LendingClub.com”
PRESENTATIONS AND WORKSHOPS
Presentations
2022 NFN Young Scholars Nordic Finance Workshop (scheduled)
2022 SHoF National PhD Workshop in Finance
2022 PhD Brown Bag Vrije Universiteit Amsterdam
2022 The Economics of Financial Technology Conference at the University of Edinburgh
2022 AFA PhD Student Poster Session
2021 SHoF National PhD Workshop in Finance
2021 Aquis Exchange
2020 NFN PhD Nordic Finance Workshop
2020 SHoF National PhD Workshop in Finance
Workshop participation
2021 NBER Doctoral Workshop on the Economics of AI
2021 EFA Doctoral Workshop on Blockchains and Cryptocurrency
VISITING EXPERIENCE
2022 Swedish House of Finance, Stockholm, Sweden
2022 Vrije Universiteit Amsterdam, Amsterdam, Netherlands
PROFESSIONAL EXPERIENCE
Stockholm University, Stockholm, Sweden
Pre-PhD research assistant for market microstructure projects, 2017-2018
Resility AB, Stockholm, Sweden
Research Intern to Nordic Compass ESG Data Project, 2016
Planet Finance (Microcredit NGO), Beijing, China
Research and Project Intern, 2014 – 2015
FELLOWSHIPS AND AWARDS
European Finance Association (EFA)
PhD Travel Grants, 2022
Nordic Finance Network(NFN)
Travel Grants to Course: Machine Learning for Finance, 2022
Jan Wallander and Tom Hedelius Foundation, Tore Browald Foundation
Scholarship for visiting the University of Toronto, 2022
(Visit postponed due to delayed visa issuance)
Jan Wallander and Tom Hedelius Foundation, Tore Browald Foundation
Research Scholarship, 2017 – 2018
Teaching
Stockholm University, Stockholm, Sweden
Teaching assistant, Finance I (bachelor’s level), 2019 – present
◦ Present and explain excel calculations of NPV, IRR, firm valuation, portfolio theory, bonds pricing, and options to more than 500 students each semester.
Stockholm University, Stockholm, Sweden
Teaching assistant, Empirical Finance (bachelor’s level), 2019 – present
◦ Guide 5 computer labs on OLS, MLE, time series analysis (ACF, DF, ADF tests), CAPM, and event study.
◦ Created two excel video tutorials for online teaching in 2020. The tutorials are still in use now and have received more than 500 views in 2022.
References
Björn Hagströmer (main supervisor)
Professor of Finance
Stockholm Business School
Stockholm University
bjorn.hagstromer@sbs.su.se
Lars Nordén (supervisor)
Professor of Finance
Stockholm Business School
Stockholm University
lars.norden@sbs.su.se
Richard Payne
Professor of Finance
Bayes Business School
City University London
Richard.Payne.1@city.ac.uk
Contact
Stockholm Business School, Stockholm University
Albanovägen 18, 106 91 Stockholm, Sweden