|Date||29th January 2003|
|Time||1:00pm - 2:00pm|
|Venue||ICMA Centre, Room G03/04|
His research interest spans issues in financial econometrics, market design and structure, empirical market microstructure. He has written articles about forecasting models for transaction prices; measures of market liquidity; and methods for comparing and contrasting alternative market structures. Currently, he is studying the effects of market fragmentation on the quality of European markets. His paper 'Time and the price impact of a Trade' (with Robert F. Engle) was short-listed for the Smith-Breedon best paper prize in the Journal of Finance for 2001. He is Course Convenor of the Derivative Securities ? Pricing and Trading module on the BSc programme and of the Trading and Exchanges module on the MSc programme.