Research Inter­ests: Empir­i­cal Asset Pric­ing, Microstruc­ture and Multifractals.

Research Assis­tance:

Cal­vet, L., Fearn­ley, M., Fisher, A., and Leip­pold, M. (2014) What’s Beneath the Sur­face? Option Pric­ing with Mul­ti­fre­quency Latent States. Forth­com­ing in Jour­nal of Econometrics.

Cal­vet, L. and Fisher, A. (2013) Extreme Risk and Frac­tal Reg­u­lar­ity in Finance. Frac­tals in Applied Math­e­mat­ics, D. Carfi, M. Lapidus, E. Pearse and M. van Franken­hui­jsen eds., Con­tem­po­rary Math­e­mat­ics, Amer­i­can Math­e­mat­i­cal Society.

Past Research

I pre­vi­ously worked with Jean-Claude Cos­set and Anis Samet on cross-listing while I was a mas­ter degree stu­dent at HEC Mon­treal: Do Polit­i­cal Insti­tu­tions Affect the Choice of the U.S. Cross-Listing Venue? — Jour­nal of Multi­na­tional Finan­cial Man­age­ment. I have also done research with David Pas­tor­iza Rivas at HEC Mon­treal on the inter­na­tion­al­iza­tion of SMEs: Inter­na­tion­al­iza­tion of SMEs: Antecedents, Out­comes, and Mod­er­a­tors (the paper is under review).

Busi­ness Case Study:

iMag. with David Pas­tor­iza Rivas. (2013). Inter­na­tional Jour­nal of Busi­ness Case Stud­ies in Management

Data Cod­ing

TotalView ITCH 4.1 (SAS, as of Aug. 2013) avail­able here

I will post addi­tional codes for ITCH using Python. SAS is def­i­nitely not appro­pri­ate to han­dle ITCH data.


I was con­tacted by the Globe and Mail to appear in their “Me and My Money” col­umn to talk about my cur­rent invest­ments few years ago.


Work for

I wrote three arti­cles for Marc Ryan, the man behind the web­site Inde­pen­dent Investor (or in french Investis­seur Autonome). The pur­pose of this is web­site is to offer an unbi­ased and clearly writ­ten mate­r­ial that a busy investors need and as a site ded­i­cated to pro­vid­ing indi­vid­ual investors with inde­pen­dent, objec­tive, free advice and infor­ma­tion about per­sonal investment.

Work #1: Sur­vey of Cana­dian Dis­count Bro­ker (May 2010)

IMy work on dis­count bro­kers was men­tioned by Rob Car­rick of the Globe & Mail, Cana­dian Finan­cial DIY, &

Work #2: The Dick Davis Div­i­dend Book Review

An intro­duc­tion arti­cle on behav­ioural finance:

work #3: We are not only irra­tional, but we are pre­dictably irrational!