published papers

"Fragmentation and strategic market-making", 2022, with Sophie Moinas, Journal of Financial and Quantitative Analysis, Forthcoming.

  • Winner 2013 of the Josseph de la Vega Prize of the Federation of European Securities Exchanges

"Standardization, transparency regime initiatives and liquidity in the CDS market," 2022, with Andras Fulop, Journal of Financial Markets, June 2022, Part A, 100718.

  • IFSID (Montreal Institute of Structured Finance and Derivatives) award for the best paper on Derivatives presented at the 2015 Northern Finance Association (NFA) meeting

"Cold case file? Inventory risk and information sharing during the pre-1997 NASDAQ preopening", (Substantial revision of "Do dealers share information about inventory risk? Evidence from pre-1997 NASDAQ".), European Financial Management, 2017, 23(4), 761-806.

Dark pools, high-frequency trading: a useful evolution?,” with Fany Declerck, (invited article, in French) Revue d’Economie Financière, 2015, 120, 113-125

"Transparency matters: price formation in presence of order preferencing," with Christian Y. Robert, Journal of Financial Markets 2011, 14, 227-258

"Extreme dependence of multivariate catastrophic losses," with Christian Y. Robert, Scandinavian Actuarial Journal 2006, 203‑225

"Information sharing, liquidity and transaction costs in floor-based trading systems," with Thierry Foucault, Revue Finance 2003, 24, 45‑78

working papers

"Does preopening (still) matter in fragmented markets," 2016, with Selma Boussetta and Sophie Moinas. Last revised December 2020. (Under revision)

"Why do firms bundle earnings and acquisition announcements?," 2017, with José-Miguel Gaspar and Sumingyue Wang. Last revised September 2022.

"Client heterogeneity and bilateral oligopoly in credit derivative markets," 2022, with Andras Fulop and Yalin Gündüz.

"Intra-daily variation in liquidity and transaction costs in the Credit Default Swap market," 2009, with Andras Fulop.

"Liquidity externalities and buyout delisting activity," 2009, with José-Miguel Gaspar.

work in progress

"Trading @ the midpoint," with Sabrina Buti


“Microstructure des marchés.” In: Encyclopaedia Universalis (with S. Vandelanoite). Paris (France) : Encyclopaedia Universalis, 2014.

"A first look at the microstructure of CDS markets," with Andras Fulop, 2008 in Proceedings of the 1st International Financial Research Forum, edited by Monique Jeanblanc, Economica

"Les bourses face au défi de l'internalisation," Problèmes Economiques 2005, 2.888, 25-27