Courses a.y. 2022/2023
20252 INFORMATION AND THE ARCHITECTURE OF FINANCIAL MARKETS
30181 THE MICROSTRUCTURE OF FINANCIAL MARKETS
40425 FINANCIAL MARKETS MICROSTRUCTURE
Courses previous a.y.
I teach to undergraduate, master, and Ph.D. students. I also act as supervisor for several Internal (IGIER) Internships where I introduce students to research.
I am an Associate Professor of Economics at Bocconi University, where I am a Fellow of the Innocenzo Gasparini Institute for Economics Research (IGIER) and of Baffi Carefin. My work has been published in a number of academic journals, including the Journal of Financial Economics, Management Science, the Review of Finance, and the Journal of Financial Intermediation. I co-authored The Microstructure of Financial Markets, a textbook published by Cambridge University. I am Associate Editor of the Journal of Financial Markets. I also act as supervisor for several Internal (IGIER) Internships where I introduce students to research.
Optimal Tick Size
We consider a model of a limit order book and determine the optimal tick size set by a social planner who maximizes the welfare of market participants. Our results show that when investors arrive sequentially and compete endogenously, providing liquidity by undercutting or queuing behind existing orders, the optimal tick size is a positive function of the asset value and a negative function of its liquidity. The policy implication of such findings is that the European tick size regime and the “Intelligent Ticks” Nasdaq proposal dominate Reg. NMS Rule 612 that formalizes the tick size regime for the U.S. markets.
Trading @ the Close
In light of the growing concern of regulators about the substantial increase in closing auction volumes around the world, we find no evidence that increases in auction activity in Europe harm market quality during continuous trading. These results differ from findings in the US markets where a different type of closing auction mechanism is used.
Information, Liquidity and Dynamic Limit Order Markets
This paper includes a closed-form solution for a two-period model of the limit order book with asymmetric information, representing a significant step in the modeling of a limit order book with asymmetric information.
Research: SSRN Author page.
My research interests are on market microstructure, financial market regulation, and market design. My most recent papers are on modeling trading (limit order books) under asymmetric information, the relevance of trading frictions (tick size and trading fees), competition between lit and dark markets, and closing auction volumes.
Trading @ The Close
Optimal Market Access Pricing
Trading Fees and Intermarket Competition
Information, Liquidity, and Dynamic Limit Order Markets
U.S. Tick Size Pilot
Optimal Tick Size
Tick Size, Trading Strategies and Market Quality
Management Science, 2022
Diving into dark pools
Financial Management, 2022
Dark pool trading strategies, market quality and welfare
Journal of Financial Economics, 2017
Lot size constraints and market quality: evidence from the Borsa Italiana
Financial Management, 2015
Undisclosed orders and optimal submission strategiesin a limit order market
Journal of Financial Economics, 2013
The Effect of a Closing Call Auction on Market Quality and Trading Strategies
Journal of Financial Intermediation, 2012
Market makers as information providers: The natural experiment of STAR
Journal of Empirical Finance, 2010
Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation
Review of Finance, 2008