Research Interests: Empirical Asset Pricing, Microstructure and Multifractals.
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.
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
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.
Work for IndependentInvestor.info:
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.
An introduction article on behavioural finance: