Working Papers

• Information, Participation, and Passive Investing (2026)

I investigate the impact of fundamental information acquisition costs on price informativeness and passive investing. Within a noisy REE model featuring market timing and stock picking strategies, falling information costs have the dual effect of lowering the cost of market timing, decreasing passive share, and lowering the cost of stock picking, increasing passive share. If the stock picking effect dominates the market timing effect, passive share increases together with price informativeness. I exploit SEC's XBRL mandate as a negative shock to information costs to provide suggestive evidence that falling information costs may be contributing to the rise in passive investing.

• Quants, Strategic Speculation, and Financial Market Quality (2026), with Paolo Pasquariello

We study the effects of quantitative investing, an increasingly popular investment style, on financial market quality. Within a model of strategic speculation with two differentially informed traders, we define discretionary investing as fully strategic and quantitative investing as partially or fully myopic via its reliance on a backtested trading strategy. We show that growth in quantitative investing (modeled as greater backtest adherence by a quantitative investor) may have significant effects on financial market quality, generally worsening (improving) it when leading to less (more) aggressive trading than discretion --- especially when endowed with less (more) precise information.

• Competition and Collusion Among Strategic Traders Who Face Uncertainty (2026), with Snehal Banerjee and Filipp Prokopev

Conventional wisdom suggests that informed investors benefit from coordinating their trades as if acting monopolistically. We show that this may not hold when investors face uncertainty about other traders' behavior. In a Kyle (1985) framework, we compare trading profits under monopolistic and competitive equilibria when informed investors face parameter uncertainty about liquidity trading volatility. While low uncertainty favors coordination, the expected profit of an individual investor in the competitive equilibrium can be higher than the total profits for all investors in the monopolistic equilibrium when uncertainty is sufficiently high.  Endogenizing collusion generates novel predictions about volume, volatility and price informativeness.

Work in Progress

• Choking on Liquidity (2025), with Giada Durante and Paolo Pasquariello

• Kyle with Commitment (2025), with Snehal Banerjee

• Arbitrage as Camouflage (2024)

I explore the implications of the growth in exchange traded funds (ETFs) and the associated arbitrage trading on price discovery and market liquidity. The introduction of arbitrage trading to segmented markets with otherwise diverging prices averages noise trading across markets, as the arbitrageur buys (sells) in the market with excess noise supply (demand). This smoothing results in less informed trading due to lower camouflage for the speculators, and lower liquidity due to greater adverse selection concerns for the market makers. The introduction of an ETF that attracts a threshold level of incremental noise trading leads to unambiguous improvements in the market quality of the underlying security, as the arbitrageur connects the synthetic and underlying markets by averaging noise trading across markets. I highlight the differential effects on market quality of stand-alone arbitrageurs and market makers jointly serving as arbitrageurs, with the former leading to greater informed trading intensity for the speculators and greater adverse selection for the market makers, and the latter having the opposite effect.