Research

In a standard continuous-time economy with heterogeneous beliefs and constant relative risk aversion, equilibrium prices reveal the cross-sectional distribution of wealth and consumption shares across beliefs. Specifically, we establish a novel recovery theorem showing that the equilibrium paths of the risky asset price and the interest rate determine the evolution of these distributions. Motivated by this finding, we develop an optimization-based method to approximate the implied distribution of consumption shares across beliefs, given discrete time series of prices and interest rates. We confirm the accuracy of this method on simulated data and illustrate the versatility of our approach by providing extensions of our basic recovery theorem that allow for learning and multidimensional beliefs.

Presentations: UCLA Macro Finance Lunch; SFI Research Days 2024; SFI PhD Workshop 2024; HSG PhD seminar; EPFL/UNIL Brown Bag seminar; UNIGE Brown Bag seminar

Research areas: Asset Pricing, Heterogeneous Beliefs 

We develop a search theory of dealer intermediation in over-the-counter markets with private investor valuations. Trading occurs through a competitive request-for-quote protocol in which dealers submit price quotes without observing investor types. The model nests the standard voice trading channel. We prove existence and uniqueness of a stationary equilibrium and characterize it through a system of functional equations. In equilibrium, quote distributions generate bid–ask spreads, price dispersion, and strictly positive probabilities of trade failure. Our theory characterizes these objects in terms of the primitives of the economy and allows us to study the micro and macro implications of private valuations in such markets.

Presentations: Workshop on Decentralized Financial Markets; Summer FTG Conference 2026; 2026 LEMMA Workshop on Money, Banking and Finance; EPFL/UNIL Brown Bag seminar; UCLA PhD Talk

Research areas: Market Microstructure, OTC Markets

Presentations: EPFL/UNIL Brown Bag seminar; Rising Scholar Conference in Finance; SFI PhD Workshop 2026; 10th HEC Paris Finance PhD Workshop in Memory of Denis Gromb; SFI Research Days 2026

Research areas: Corporate Finance, Capital Structure

We solve a large class of first-price auctions with private values and non-monotone payoffs. We explicitly characterize the unique mixed-strategy equilibrium when bidder types are finite and participation may be random. Non-monotonicities are handled using the running maximum of the payoff function, analogously to ironing in mechanism design. Unlike ironing, which averages across types, the running maximum skips bids because dominated bids do not need to be used. We then consider general distributions of bidder types. We provide an integral representation of the unique equilibrium and show that finite-types equilibria converge to it. Our main application is auctions with secret reserve prices. In particular, we extend the Burdett-Judd (1983) model to arbitrary distributions of reserve prices.

Presentations: Workshop on Decentralized Financial Markets

Research areas: Microeconomic Theory, Auction Theory