Research.

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.

Distinguishes rational cancellation from deceptive intent and derives the benefits—and limits—of using profit-source evidence in enforcement.

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.

Derives a restriction on price adjustment: a two-rate benchmark permits at most one change in the sign of return covariance. Trend-following pressure adds a third rate. Evidence from Indian equities traces the horizon curve from one day to three years.

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.

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.