Research Interests:
- International Finance: Exchange Rate Economics, Foreign Exchange Intervention, Carry Trading and Forward Discount Bias.
- Market Microstructure Theory: Price Manipulation and Noise Trading, Market Transparency and Price Experimentation, Order Flow.
- Financial Economics: Risk-aversion and Asset Pricing.
- Optimal Control: Ambiguity-aversion and Pessimism.
Education:
- 1996 PhD in Economics, University of Cambridge. Thesis Title: Essays in the Theory of Market Micro Structure
- 1993 MPhil in Economic Theory and Econometrics, University of Cambridge
- 1991 BSc in Statistics and Economics, University of Rome “La Sapienza".
Work Experience:
- 2006 – Professor of Economics, University of Chieti-Pescara.
- 2001 – 2006 Associate Professor of Economics, University of Chieti-Pescara.
- 1996 – 2001 Assistant Professor of Finance (tenured), The London School of Economics.
- 1996 Research Economist, Bank of England.
Other Work and Affiliations:
- 2003 – Adjunct Professor, Luiss University.
- 2001 – 2010 Research Affiliate, International Macroeconomics Programme, CEPR.
- 2002 – 2008 Research Fellow, Ente per gli Studi Monetari, Bancari e Finanziari Luigi Einaudi.
Visiting Positions:
- 2007 Visiting Professor, Tanaka Business School, Imperial College.
- 2005 Visiting Professor, Directorate General Research, the European Central Bank.
- 2001 Visiting Scholar, Haas Business School, University of California at Berkeley.
- 1997 Jean Monnet Fellow, European University Institute.
Publications:
- The Currency That Came in From the Cold: Capital Controls and the Information Content of Order Flow, with Francis Breedon and Thòrarin Petursson, Journal of International Money and Finance, 138, November 2023, 1-17.
- A Dynamic Oligopoly with Price Stickiness and Risk-averse Agents, with Edilio Valentini, Italian Journal of Economics, 8, November 2022, 697-718.
- Optimal Monetary Policy for a Pessimistic Central Bank, Journal of Macroeconomics, 58, December 2018, 39-59, Supplementary Material.
- Robust Trading for Ambiguity-averse Insiders, Journal of Banking and Finance, 90, May 2018, 113-130, Appendix A, Appendix B.
- Insider Trading in Sequential Auction Markets with Risk-aversion and Time-discounting, European Journal of Finance, 23, October 2017, 1267-1279, Appendix.
- Ambiguity-aversion in a Single Auction Market, Economics Bulletin, 37, July 2017, 1745-1752
- Pessimistic Optimal Choice for Risk-averse Agents: The Continuous-time Limit, Computational Economics, 49, January 2017, 17-65.
- Carry Trade, Order Flow and the Forward Bias Puzzle, Journal of Money Credit and Banking, 48, September 2016, 1113-1134, Appendix.
- Optimal Informed Trading in the Foreign Exchange Market, European Journal of Finance, 18, December 2012, 989-1013.
- Risk-averse Insider Trading in Multi-asset Sequential Auction Markets, Appendix, Economics Letters, 117, December 2012, 673-675.
- Call Auction Markets With Risk-averse Specialists, Theoretical Economics Letters, 2, May 2012, 175-179.
- The Impact of Foreign Exchange Intervention: A Market Microstructure Analysis, International Journal of Finance and Economics, 16, January 2011, 41-62.
- An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates, with Francis Breedon, Journal of International Money and Finance, 29, April 2010, 504-524.
- A Guided Tour of The Market Micro Structure Approach to Exchange Rate Determination, Journal of Economic Surveys, 21, December 2007, 903-934.
- An Assessment of Some Open Issues in the Analysis of Foreign Exchange Intervention,International Journal of Finance and Economics, 12, March 2007, 155-170.
- A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates, with Richard Payne, Journal of International Economics 61, December 2003, 331-352.
- Foreign Exchange Intervention: How to Signal Policy Objectives and Stabilise the Economy, Journal of Monetary Economics 50, May 2003, 841-870.
- Inflation and Sovereign Default, with Turalay Kenc and William Perraudin, IMF Staff Papers 47, September 2001, 367-386.
- Speculative Noise Trading and Manipulation in the Foreign Exchange Market,Journal of International Money and Finance 19, September 2000, 689-712.
- Sterilised Central Bank Intervention in the Foreign Exchange Market, Journal of International Economics 49, December 1999, 245-267.
- Two Months in the Life of Two Market Makers on the London Stock Exchange, Journal of International Financial Markets, Institutions and Money 8, December 1998, 299-324.
- Reserve and Exchange Rate Cycles, with Robert Flood and William Perraudin, Journal of International Economics 46, October 1998, 31-59.
Working Papers:
- Risk-sensitive Optimal Control with Forward-looking Variables, with Guido Traficante, SSRN Working Paper 4360106, February 2023.
- Short-sightedness, Short-sale Constraints and the Dissemination of Private Information, with Paolo Colla, SSRN Working Paper 4012043, October 2022.
- The Currency That Came in From the Cold: Capital Controls and the Information Content of Order Flow, with Francis Breedon and Thórarinn Petursson, Central Bank of Iceland, Working Papers, 2021/86, June 2021.
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- Primer acceso al sitio
- miércoles, 26 de julio de 2017, 09:34 (7 años 108 días)
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