Publications

Information Arrival in Financial Markets

Published in Working Paper, 2019

Job Market Paper. I introduce a new high-frequency analysis of options written on the S&P 500, and quantify in real-time the information contained in the probability measure implied by option prices. I find the intraday flow of information summarizing the expected future price of the index is not continuous, and often increases in discrete intervals. This fact is used to identify large-information events over the six years in othe sample.

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Information in Risk Neutral Probabilities

Published in Working Paper, 2019

We examine the evolution of the risk-neutral density as an option approaches maturity. We propose an estimator which does not bias the measurement over time as an alternative to standard nonparametric approaches. We then estimate the density for options with the same expiration date, and compute measures of information. Parametric analysis shows the majority of information in our approximate risk-neutral measure accrues near maturity according to a logarithmic or power law. No existing theoretical model describes this process.

Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?

Published in International Journal of Central Banking, 2014

We consider whether long-term inflation expectations have become better anchored in Brazil, Chile, and Mexico, using both survey- and financial-market-based measures. This paper is the first to examine the evidence from Brazil and Mexico. We find that inflation expectations have become much better anchored over the past decade in all three countries.

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