Aryan Ayyar
Price Formation, Information and Equilibrium
I study how information becomes price when markets have structure. My work combines rational-expectations and general-equilibrium theory, asset pricing, market microstructure, and high-frequency empirical finance.
Selected Working Papers
all papers »Public order flow does not just move price; it resets continuation margin. Links adverse signed flow, price discovery, depth withdrawal, and forced deleveraging.
Where Manipulation Hides
2026Shows how enforcement can suppress visible spoofing while displacing manipulation into opaque channels, making apparent success conceal greater market-wide harm.
Queue Priority as Adverse-Selection Exposure
2026Reframes FIFO priority as state-contingent adverse-selection exposure, linking fill toxicity, cancellation, hidden effective rank, and Kyle / Back information states.
Prices at Three Speeds
2026Traces return predictability from one day to three years: strong continuation over 3–8 months and reversal over 12–36 months, while same-firm NSE–BSE gaps close within days.
Investor Preferences Under Uncertainty and the Cross-Country Green Bond Premium
2026Submitted to Finance Research Letters. Uses 417 matched green bonds across 30 countries to study how long-term orientation and uncertainty avoidance shape greenium heterogeneity.
Market Microstructure Lab
A public dashboard built from raw Nasdaq TotalView-ITCH order-level data: visible depth, top-of-book motion, execution bursts, cancel waves, and liquidity droughts.
>> open_lob_dashboard.shWriting
Short fiction and essays: tenderness, restraint, and the rituals that carry histories.
view collection »Education
Let's talk research.
Open to PhD discussions on market microstructure, asset pricing, liquidity, and hidden-state identification in electronic markets.