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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

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

Selected Working Papers

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

Selected Working Papers

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

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