In the chapter titled "Electronic Trading in OTC Markets vs. Centralized Exchange", we model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative...

My third paper proposes a simple approach to hedge currency risk based on a backward-looking mean-variance analysis that is robust to overfitting. In particular, the paper finds that the current baseline of mean-variance currency hedging as offered in the literature breaks down out-of-sample and...