My interests
My interests
My research interests include several fields in finance and economics, in particular market microstructure, behavioural finance, portfolio theory and management, empirical finance, monetary policy and macroeconomics.
Market microstructure and behavioural finance are among the most fertile research areas to critically analyse the Efficient Market Hypothesis (EMH) and the related paradigms (in particular, agent's rationality, expected utility maximisation and information efficiency).
In most of my works, I have used high-frequency data (tick-by-tick or intraday time granularities) to empirically test financial markets' response to specific events. More information on my databases is available on request.