Research.

A price can reveal value without revealing the cost of unwinding a position. In a Kyle-style model with staggered execution, a prime broker uses order flow and its client’s order to forecast remaining informed trading. Markets with the same price-update variance can have different margin sensitivity to signed order-flow surprises; binding requirements induce forced position reductions. The model focuses on the liquidity and closeout-execution component of margin.

Reframes 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.

Studies how information, liquidity pressure, and trend feedback shape return covariance across horizons. Within the model, two adjustment rates permit at most one sign change; Indian-equity patterns provide descriptive evidence. Revised 24 September 2026.

Characterizes exactly when Jamshidian's decomposition survives in multifactor exponential-affine models: bond loadings must lie on a common positive ray. Near that boundary, projected one-factor strikes yield an upper bound with explicit error control.

In a price-time-priority market, an order ahead in the queue executes more often but can earn less. In a limit order book where dealers cancel and resubmit at random times, we construct an equilibrium in which an order fills more often than the one behind it yet earns less, while every dealer profits from supplying liquidity. Dealers also pay to surrender a valuable place in the queue to avoid being moved up into a worse position. A two-round extension adds learning, repricing and repeated informed trading. Version 2, October 2026.

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.

Research assistance for Madhu Veeraraghavan and Abhishek Rohit.

A tractable mechanism in which costly informed entry changes the balance between information incorporation and price-pressure reversal.

Master's thesis. Dynamic order execution, market impact, and trading under liquidity frictions.

A graduate-level book in 67 worked problems, developing price discovery, adverse selection, strategic informed trading, and execution. Connects Roll and MRR identification, Bayesian learning and PIN, Kyle equilibria, and market impact through derivations, examples, and research exercises.

Six graduate lectures on how trading, information, and funding shape prices. Develops rational expectations, transaction-price dynamics, Kyle models, limit-order execution, and liquidity spirals through detailed derivations, worked examples, and solved exercises. Includes a mathematical supplement on fractional kernels and rough volatility.