Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

The first paper is co-authored with Sylvain Delalay. We examine the impact of competition between ETFs on measures of market quality of the funds. The surge in new ETF creation has for consequence that groups of competing ETFs are increasingly crowded, and investors can choose from a multitude...

A general statistical modeling problem is that given a class of competing models and new data, how one can improve the overall model performance. In general, there exist two solutions for this problem, namely model selection and model combination. Model selection is to select a single best model...

We present simple procedures for the prediction of a real valued sequence. The algorithms are based on a combination of several simple predictors. We show that if the sequence is a realization of a bounded stationary and ergodic random process then the average of squared errors converges, almost...

In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the...