About

I specialize in quantitative modeling of financial markets, from market microstructure to aggregate asset pricing. My work bridges theory and empirics, with applications in portfolio construction, risk management, and algorithmic trading. Currently Assistant Professor of Finance at Virginia Tech, I hold a Ph.D. in Finance from Arizona State University, and have prior degrees in quantitative finance and mathematics from Bradley University.

Research topics

• Economics
• Financial economics
• Monetary economics
• Econometrics

Selected publications

• Dissecting the Equity Premium

  Journal of Political Economy · 2022 · 36 citations

  1st authorCorresponding
  • Economics
  • Financial economics
  • Econometrics

  We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below −10%, but returns below −30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above −10% or to the extreme left tail. We show that the discrepancy arises from an unrealistically small price of risk for stock market tail events in the models.

  PublisherOA PDFDOI

• On Sources of Risk Premia in Representative Agent Models

  SSRN Electronic Journal · 2019-01-01 · 8 citations

  articleOpen access1st authorCorresponding
  PublisherDOI

• Simulation of a financial market: The possibility of catastrophic disequilibrium

  Chaos Solitons & Fractals · 2019-05-21 · 7 citations

  article
  PublisherDOI

• The Anatomy of Trading Algorithms

  SSRN Electronic Journal · 2019-01-01 · 26 citations

  articleOpen access1st authorCorresponding
  PublisherDOI

Frequent coauthors

• David Schreindorfer

  Arizona State University

  2 shared

• K. R. Roos

  1 shared

• Amit K. Sinha

  1 shared

• Philip A. Horvath

  1 shared

• Sunil Wahal

  1 shared