Market Microstructure

Information Networks in the Financial Sector and Systemic Risk

A network based on informed trading in financial firms predicts firm-specific risk and performance, while one formed on financial firm returns predicts future macroeconomic risk.

Conditional Correlation Network Data from the Financial Sector

Conditional Correlation Network Data

Currency Risk and Information Diffusion

This paper explores whether informed trading in equity markets is a determinant of information diffusion from currency markets.

Identifying and Pricing Adverse Selection Risk with VPIN

Informed trading measured by VPIN is priced, and is not explained by firm characteristics such as volume, volatility, or liquidity, supporting the validity of the measure.