Price Formation, Information and Equilibrium
My work studies how information becomes price when markets have structure. The common spine is rational-expectations and general-equilibrium theory, asset pricing, market microstructure, and high-frequency empirical finance.
01 · Primary Working Papers
Public order flow does not just move price; it resets continuation margin. Links adverse signed flow, price discovery, funding liquidity, 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 in limit order books as state-contingent adverse-selection exposure, linking marginal fill toxicity, cancellation, hidden effective rank, and Kyle / Back information states.
Prices at Three Speeds
2026Traces adjacent-return autocovariance from one day to three years. A strong 3–8 month continuation band turns negative over 12–36 months, while same-firm NSE–BSE gaps close in about 2.4 trading days—requiring at least three adjustment speeds.
02 · Published and Submitted
Investor Preferences Under Uncertainty and the Cross-Country Green Bond Premium
Uses 417 green bonds matched to synthetic conventional bonds across 30 countries to study how long-term orientation and uncertainty avoidance shape cross-country greenium heterogeneity.
Momentum, Reversals and Liquidity: Indian Evidence
Research assistance for Madhu Veeraraghavan and Abhishek Rohit.
03 · Theory Notes
Informed Entry, Price Impact & Short-Horizon Return Predictability
A tractable mechanism in which costly informed entry changes the balance between information incorporation and price-pressure reversal.
Dynamic Order Execution Mechanisms
Master's thesis. Dynamic order execution, market impact, and trading under liquidity frictions.