Office of the Chief Economist Personnel
Staff Economists
Lori Walsh | Senior Director, Deputy Chief Economist
Ozzy Akay | Senior Economist
Hammad Qureshi | Senior Economist
Dror Y. Kenett | Economist
Matthew L. Kozora | Economist
Shawn M. O’Donoghue | Economist
Yue Tang | Economist
Matt Peppe | Research Associate
Adjunct Researchers
Amber Anand | Edward Pettinella Professor of Finance, Syracuse University
Bruce Mizrach | Professor of Economics, Rutgers University
Stanislava (Stas) Nikolova | Assistant Professor of Finance, University of Nebraska-Lincoln
Mehrdad Samadi | Assistant Professor of Finance, SMU Cox School of Business
Kumar Venkataraman | Professor of Finance, SMU Cox School of Business
Sam Hempel | Finance PhD Student, Cornell University
Lori Walsh
Senior Director, Deputy Chief Economist
Areas of Concentration & Interest
Policy
- Regulatory Compliance and Enforcement, Investor Issues
Research
- Investments, investor issues, fixed income
Education
- Doctor of Philosophy | Finance | Pennsylvania State University
- Master of Business Administration | Pennsylvania State University
- Bachelor of Science | Accounting | Pennsylvania State University
Selected Publications and White Papers
- The Costs and Benefits of 12b-1 Fees, 2004 white paper, quoted in dozens of books, litigation briefs, online articles and financial publications, including the Wall Street Journal and The Economist, over the last 9 years. http://www.sec.gov/rules/proposed/s70904/lwalsh042604.pdf
- Supermarket Distribution and Brand Recognition of Open-End Mutual Funds, Financial Services Review 16, 2007, 309-326 (with Conrad Ciccotello and Jason Greene)
- Should Investors Choose Funds from Focused Families? Financial Services Review 15, 2006, 247-264 (with Conrad Ciccotello and James Miles)
- Why Does a Fund Change Its Name? Journal of Investing 10(3), 2001, 75-80 (with Conrad Ciccotello)
Selected Working Papers
- The Evolution of Investor Information: Evidence from Public Securities Offerings, 2017. (with C.R. Alexander and M. Nimalendran)
Ozzy Akay
Senior Economist
Areas of Concentration & Interest
Policy
- Transparency initiatives, Financial & Operational Regulation, Fixed Income
Research
- Market microstructure, firm behavior
Education
- Doctor of Philosophy | Finance | Texas Tech University
- Master of Science | Interdisciplinary Studies |Texas Tech University
- Master of Science | Finance | Texas Tech University
- Bachelor of Science | Management | Middle East Technical University
Selected Publications and White Papers
- Hedge Fund Contagion and Absolute Returns: A Markov-switching Dynamic Factor Approach, Journal of Empirical Finance 22, 2013, 16-29 (with Zeynep Senyuz, and Emre Yoldas)
- A Look Inside AMLF: What Traded and Who Benefited, Journal of Banking & Finance 37 (1), 2013, 1643–1657 (with Mark D. Griffiths, Vladimir Kotomin and Drew Winters)
- What Does PIN Measure? Evidence from the T-Bill Market, Journal of Financial Markets 12, 2012, 29-46 (with Ken Cyree, Mark D. Griffiths, and Drew Winters)
Hammad Qureshi
Senior Economist
Areas of Concentration & Interest
Policy
- Primary—Member Regulation, Registration and Disclosure, Advertising and Corporate Financing Regulation
- Secondary—Transparency Services, Dispute Resolution
Research
- Broker and firm misconduct, market microstructure, transparency, fixed income
Education
- Doctor of Philosophy | Economics | Ohio State University
- Master of Arts | Economics | Ohio State University
- Bachelor of Arts | Computer Science and Economics| Ohio Wesleyan University
Selected Working Papers
- Do Investors have Valuable Information about Brokers?, 2015, FINRA Office of the Chief Economist Working paper (with Jonathan Sokobin). Cited in several regulatory notices, rule filings and academic publications.
- Media Coverage: The Street, The Wall Street Journal, Think Advisor
- Full paper
- Non-technical summary
Dror Y. Kenett
Economist
Areas of Concentration & Interest
Policy
- Market Structure, Member Regulation
Research
- Financial networks, econometrics, co-movement, data science
Education
- Doctor of Philosophy | Physics | Tel-Aviv University
- Master of Science| Physics | Tel-Aviv University
- Bachelor of Science | Physics | Tel-Aviv University
Selected Publications and White Papers
- Looking Deeper, Seeing More: A Multilayer Map of the Financial System, OFR Brief 16, 06, 2016 https://www.financialresearch.gov/briefs/files/OFRbr_2016-06_Multilayer-Map.pdf (with Richard Bookstaber)
- A Map of Collateral Uses and Flows, Journal of Financial Market Infrastructures 5(2), 2016, 1-28 (with Andrea Aguiar, Richard M. Bookstaber, and Thomas Wipf)
- Dynamical Macroprudential Stress Testing Using Network Theory, Journal of Banking & Finance 59, 2015, 164-181 (with Sary Levy-Carciente, Adam Avakian, H. Eugene Stanley, and Shlomo Havlin)
- Emergence of Statistically Validated Financial Intraday Lead-lag Relationships, Quantitative Finance 15(8), 2015, 1375-1386 (with Chester Curme, Michele Tumminello, Rosario N. Mantegna, and H. Eugene Stanley)
- Dependency relations among international stock market indices, Journal of Risk and Financial Management 8(2), 2015, 227-265, http://www.mdpi.com/1911-8074/8/2/227/htm (with Junior, Leonidas Junior, Sandoval, Asher Mullokandov, and Dror Y. Kenett)
- Partial Correlation Analysis: Applications for Financial Markets, Quantitative Finance 15(4), 2015, 569-578 (Xuqing Huang, Irena Vodenska, Shlomo Havlin, and H. Eugene Stanley)
- The Design and Performance of the Adaptive Stock Market Index, Algorithmic Finance 3 (3-4), 2014, 189-207 https://content.iospress.com/download/algorithmic-finance/af039?id=algorithmic-finance%2Faf039 (with Lior Zatlavi and Eshel Ben-Jacob)
- Spontaneous Recovery in Dynamical Networks, Nature Physics 10(1), 2014, 34, https://www.nature.com/articles/nphys2819 (with Antonio Majdandzic, Boris Podobnik, Sergey V. Buldyrev, Shlomo Havlin, and H. Eugene Stanley)
- How High Frequency Trading Affects a Market Index, Scientific Reports 3, 2013, 2110, https://www.nature.com/articles/srep02110 (with Eshel Ben-Jacob, H. Eugene Stanley, and G. Gur-Gershgoren)
- Quantifying the Behavior of Stock Correlations under Market Stress Scientific Reports 2, 2012, 752 https://www.nature.com/articles/srep00752 (with Tobias Preis, H. Eugene Stanley, Dirk Helbing, and Eshel Ben-Jacob)
- Hidden Temporal Order Unveiled in Stock Market Volatility Variance AIP Advances 1(2), 2011, https://aip.scitation.org/doi/full/10.1063/1.3598412 (with Yoash Shapira, Ohad Raviv, and Eshel Ben-Jacob)
- Index Cohesive Force Analysis Reveals that the US Market became Prone to systemic collapses since 2002 PLoS one 6(4) 2011): e19378 http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0019378 (Kenett, Dror Y., Yoash Shapira, Asaf Madi, Sharron Bransburg-Zabary, Gitit Gur-Gershgoren, and Eshel Ben-Jacob)
- Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market PloS one 5(12), 2010, http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0015032 (with Michele Tumminello, Asaf Madi, Gitit Gur-Gershgoren, Rosario N. Mantegna, and Eshel Ben-Jacob)
Matthew L. Kozora
Economist
Areas of Concentration & Interest
Policy
- Dispute Resolution
Research
- Dispute resolution
Education
- Doctor of Philosophy | Finance | University of Maryland
- Master of Science | Quantitative Science | Georgia Institute of Technology
- Bachelor of Science | Business Administration | Washington & Lee University
- Bachelor of Arts | Mathematics | Washington & Lee University
Selected Publications and White Papers
- Security Recommendations and the Liabilities of Broker-Dealers, Journal of Law, Finance, and Accounting, 2017
Shawn M. O’Donoghue
Economist
Areas of Concentration & Interest
Policy
- Market Regulation
Research
- Market microstructure
Education
- Doctor of Philosophy | Finance | Indiana University
- Master of Science | Mathematics | University of Denver
- Master of Arts | French | Middlebury College
- Bachelor of Arts | Economics | Georgetown University
Selected Working Papers
- Brokerage Commissions: Transforming the Impact of Make-Take Fees on Order Execution Quality, 2018
Yue Tang
Economist
Areas of Concentration & Interest
Policy
- Market Regulation, Fixed Income, Unpaid Awards
Research
- Empirical asset pricing, institutional investors, financial analysts
Education
- Doctor of Philosophy | Finance | Emory University
- Master of Science | Electrical Engineering | University of Pennsylvania
- Bachelor of Science | Electrical Engineering| Tsinghua University
Selected Publications and White Papers
- Use of Derivatives by Registered Investment Companies Division of Economic and Risk Analysis White Paper Series, 2015 (with Daniel Deli, Paul Hanouna, Christof W. Stahel, and William Yost)
- Do Anomalies Exist Ex Ante? Review of Finance 18(3), 2014, 843–75 (with Jin (Ginger) Wu and Lu Zhang)
- Gender and Job Performance: Evidence from Wall Street, Financial Analysts Journal, 2009 (with T. Clifton Green and Narasimhan Jegadeesh)
Selected Working Papers
- Business Connections and Informed Trading of Mutual Fund Managers
- Institutional Trades Around Takeover Announcements: Skill vs. Inside Information (with Narasimhan Jegadeesh)
- Analyst Proximity and Earnings Management (with Jin (Ginger) Wu)
Matt Peppe
Research Associate
Areas of Interest
- market microstructure
Education
- Doctor of Philosophy (Candidate) | Finance | University of Maryland
- Bachelor of Science | Mathematics | College of William & Mary
Adjunct Researchers
Amber Anand
Edward Pettinella Professor of Finance, Syracuse University
Areas of Interest
- Market structure, including market design; transaction costs analysis; broker and trading desk evaluation; inter-market competition; the role of market intermediaries; price discovery; market quality and structure of equity, options and corporate bond markets.
Education
- Doctor of Philosophy | Finance | Baruch College and GSUC, City University of New York
- M.Phil | Finance | Baruch College and GSUC, City University of New York
- Postgraduate | Diploma Management | International Management Institute, New Delhi
Selected Publications and White Papers
- Make-take structure and market quality: Evidence from the US options markets, Management Science, 2016, 62, 3271-3290. (with J. Hua and T. McCormick)
- Market Conditions, Fragility and the Economics of Market Making, Journal of Financial Economics, 2016, 121, 327-349, (with K. Venkataraman)
- Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis, Journal of Financial Economics, 2013, 108, 773-797. (with P. Irvine, A. Puckett and K. Venkataraman)
- Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost, Review of Financial Studies, 2012, 25, 557-598. (with P. Irvine, A. Puckett and K. Venkataraman)
- Geographic Proximity and Price Discovery: Evidence from Nasdaq, Journal of Financial Markets, 2011, 14, 193-226 (Lead Article). (with V. Gatchev, L. Madureira, C. Pirinsky, and S. Underwood)
- Paying for market quality Journal of Financial and Quantitative Analysis, 2009, 44, 1427-1457. (with C. Tanggaard and D. Weaver)
- Cleaning house: Stock reassignments on the NYSE Journal of Financial Markets, 2009, 12, 727-753. (with S. Chakravarty and C. Chuwonganant)
- Information and the intermediary: Are market intermediaries informed traders in electronic markets Journal of Financial and Quantitative Analysis, 2008, 43, 1-28. (with A. Subrahmanyam)
- Stealth Trading in Options Markets Journal of Financial and Quantitative Analysis, 2007, 42, 167-188. (with S. Chakravarty)
- The Value of the Specialist: Empirical Evidence from the CBOE, Journal of Financial Markets, 2006, 9, 100-118. (With D. Weaver)
- Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders, Journal of Financial Markets, 2005, 8, 289-309. (with S. Chakravarty and T. Martell)
- Can Order Exposure be Mandated? Journal of Financial Markets, 2004, 7, 405-426. (with D. Weaver)
Selected Working Papers
- Do Buy-Side Institutions Supply Liquidity in Bond Markets? Evidence from Mutual Funds (with C. Jotikasthira and K. Venkataraman)
- Option Skill (with J. Hua and A. Puckett)
- Does Institutional Trading Affect Underwriting? (with P. Irvine and T. Liu)
Bruce Mizrach
Professor of Economics, Rutgers University
Areas of Interest
- market microstructure, nonlinear time series analysis, financial crises
Education
- Doctor of Philosophy | Economics| University of Pennsylvania
- Bachelor of Arts | History | Tufts University
Selected Publications and White Papers
- The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform, Journal of Financial Markets 40, 2018, 2-22 (with Michael Fleming and Giang Nguyen)
- Analysis of Securitized Asset Liquidity Research Note, FINRA Office of the Chief Economist, 2017 (with An He)
- Market Quality Breakdowns in Equities, Journal of Financial Markets, 28, 2016 1-23 (with Cheng Gao)
- Analysis of Corporate Bond Liquidity, Research Note, FINRA Office of the Chief Economist, 2015
Selected Working Papers
- Location Basis Differentials in Oil Prices, Rutgers University Working Paper, 2018, (with Phat Luong and Yoichi Otsubo)
- Disentangling the Effects of News, Small Jumps, and Large Jumps on Stock Return Predictability, Rutgers University Working Paper, 2018, (with Norman Swanson and Bo Yu)
Stanislava (Stas) Nikolova
Assistant Professor of Finance, University of Nebraska-Lincoln
Areas of Interest
- fixed income
Education
- Doctor of Philosophy | Finance | University of Florida
- Bachelor of Science | Management | State University of New York - Geneseo
Selected Publications and White Papers
- Strategic Estimation of Asset Fair Values, Journal of Accounting and Economics, 2018 66, 25-45. (with D. Jagolinzer and K. W. Hanley)
- Momentum in Corporate Bond Returns, Review of Financial Studies, 2013, 26, 1649-1693. (with G. Jostova, A. Philipov and C. W. Stahel)
- Journal of Financial and Quantitative Analysis, Leverage Expectations and Bond Credit Spreads, 2012, 47, 689-714. (with M. J. Flannery, and Ö. Öztekin)
- Market Discipline of U.S. Financial Firms: Recent Evidence and Research Issues, in Claudio Borio, William C. Hunter, George Kaufman, and Kostas Tsatsaronis, ed. Market Discipline Across Countries and Industries (MIT Press), 2004 (with M. J. Flannery)
Selected Working Papers
- The Transaction Costs of Trading Corporate Credit. (with G. Biswas and C. W. Stahel)
Reject & resubmit at The Journal of Finance - Portfolio Similarity and Asset Liquidation in the Insurance Industry. (with G. Girardi, K. W. Hanley, L. Pelizzon and M. Sherman)
Revise & resubmit at Journal of Financial Economics - Rethinking the Use of Credit Ratings in Capital Regulation. (with K. W. Hanley)
- The Bond Pricing Implications of Rating-Based Capital Requirements. (with S. Murray)
Mehrdad Samadi
Assistant Professor of Finance, SMU Cox School of Business
Areas of Interest
- Financial economics and market design
Education
- Doctor of Philosophy | Finance | The University of North Carolina at Chapel Hill
- Bachelor of Science | Finance | Rutgers University
Selected Publications and White Papers
- Automation, Intermediation and the Flash Crash, Journal of Investment Management, forthcoming, (with Andrei Kirilenko, Albert Kyle, and Tugkan Tuzun)
- The Flash Crash: High-Frequency Trading in an Electronic Market, Journal of Finance 72, 967–998 (with Andrei Kirilenko, Albert Kyle, and Tugkan Tuzun)
Selected Working Papers
Kumar Venkataraman
Professor of Finance, SMU Cox School of Business
Education
- Doctor of Philisophy | Finance | Arizona State University
- Master of Management Studies | Finance | BITS Pilani (India)
Selected Publications and White Papers
- Capital Commitment, and Illiquidity in Corporate Bonds, Journal of Finance, 2018, Vol. LXXIII, No. 4, 1615-1661 (with Hank Bessembinder, Stacey Jacobsen, and Bill Maxwell).
- Informed Trading and Price Discovery before Corporate Events, Journal of Financial Economics, 2017, Volume 125, 561-588 (with Shmuel Baruch and Marios Panayides).
- Market Conditions, Fragility and the Economics of Market Making, Journal of Financial Economics, 2016, Volume 121 (2), 327-349 (with Amber Anand).
- Liquidity, Resiliency and Market Quality around Predictable Trades: Theory and Evidence, Journal of Financial Economics, 2016. Volume 121 (1), 142-166. (with Hank Bessembinder, Al Carrion, and Laura Tuttle).
Selected Working Papers
- The Microstructure of Fixed Income Markets: A Survey, 2018 (with Hank Bessembinder and Chester Spatt)
- Do Buyside Institutions Supply Liquidity in Bond Markets? Evidence from Mutual Funds, 2018 (with Amber Anand and Chotibhak Jotikasthira).
- Does Trade Reporting improve Market Quality in an Institutional Market? Evidence from 144A Bond Issues, 2018 (with Stacey Jacobsen)
- Broker Routing, ATS ownership and Execution Quality, 2018 (with Amber Anand, Jonathan Sokobin and Mehrdad Samadi).
Sam Hempel
Finance PhD Student, Cornell University
Areas of Interest
- Market microstructure, financial regulation, ETFs
Education
- Doctor of Philosophy (Candidate) | Finance | Cornell University | Cornell Bio
- Master of Arts | Economics | University of Georgia
- Bachelor of Arts | Economics | University of Georgia
- Bachelor of Science | Statistics | University of Georgia