My research is broadly in the areas of financial markets and investments. I have a long standing interest in the estimation and modelling of the interest rates implicit in UK government bonds prices, and in the modelling of the effects of exogenous and endogenous changes in the microstructure of this market. This work began with my PhD thesis that studied the 1986 “Big Bang” deregulation of UK financial markets (including the government bond market) and continues with my current work examining the effects of quantitative easing on the UK bond market and other financial markets.
Aside from the focus on bond markets, I have also undertaken research on each of equity, futures and options markets, with a particular emphasis on the dynamic properties of the market prices and the information revealed by these dynamics.
In recent years, my research in the area of market microstructure has grown in scope, looking at information aggregation, the measurement and pricing of liquidity and the effects of investor behaviours.
I welcome PhD student applications from highly qualified Masters level graduates who have interests in my current areas of research interest (the UK bond market or empirical market microstructure).