Articles:

Smooth Trading with Overconfidence and Market Power ( pdf )
joint with Albert S. Kyle and Yajun Wang, Review of Economic Studies, 2017, forthcoming.

Market Microstructure Invariance: Empirical Hypotheses ( pdf )
with Albert S. Kyle, Econometrica, 2016, 84(4), pages 1345-1404.

A Practitioner’s Guide for Market Microstructure Invariance ( pdf )
with Albert S. Kyle and Mark Kritzman, Journal of Portfolio Management, 2016, 43(1), pages 43-53.

Optimal Trading Strategy and Supply/Demand Dynamics ( pdf )
with Jiang Wang, Journal of Financial Markets, 2013, 16, pages 1-32.

The Russian Ruble Crisis of December 2014 ( pdf )
Voprosy Ekonomiki , 2016 (5) (in Russsian).


Working Papers:

Dimensional Analysis and Market Microstructure Invariance ( pdf )
joint with Albert S. Kyle, 2016.

Market Microstructure Invariance: A Dynamic Equilibrium Model ( pdf )
joint with Albert S. Kyle, 2016.

Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance ( pdf )
joint with Albert S. Kyle, 2016.

Intraday Trading Invariance in the E-mini S&P 500 Futures Market ( pdf )
joint with Torben G. Andersen, Oleg Bondarenko, and Albert S. Kyle, 2016.

Large Bets and Stock Market Crashes ( pdf )
joint with Albert S. Kyle, 2016.

Microstructure Invariance in U.S. Stock Market Trades ( pdf )
joint with Albert S. Kyle and Tugkan Tuzun, 2016.

News Articles and Equity Trading ( pdf )
joint with Albert S. Kyle, Nitish Sinha, and Tugkan Tuzun, 2011.

Invariance in Buy-Sell Switching Points ( pdf )
joint with Albert S. Kyle, Kyoung-hun Bae and Eun Jung Lee, 2015.

Beliefs Aggregation and Returns Predictability ( pdf )
joint with Albert S. Kyle and Yajun Wang, 2015.

The Industrial Organization Implications of a One-Period Invariance Model ( pdf )
joint with Albert S. Kyle and Yajun Wang, 2015.


Other Papers:

Portfolio Transitions and Stock Price Dynamics ( pdf )

Liquidity Estimates and Selection Bias ( pdf )

Optimal Investment Decisions
joint with V.Morozov and D.Sapozhnikova, Computational Mathematics and Modeling, 2001, vol. 12


Papers in Russian:

Анализ событий на российском валютном рынке 15-16 декабря 2014 года ( pdf )
[ссылки на анализ похожих событий во время кризиса 1987 года и кризиса 6 мая 2010
- "Brady Report" Presidential Task Force on Market Mechanisms, 1988 ( pdf )
- SEC and CFTC, Findings Regarding the Market Events of May 6, 2010 ( pdf ) ]

Чем и для кого опасен финансовый кризис в Китае ( РБК, 10.07.2015 )

Большая заявка: почему обвалились фондовые рынки Европы и Азии ( РБК, 01.09.2015 )

Девальвация-2014: каким мог быть механизм падения рубля ( Forbes, 24.12.2015 )

Теория заговора: как отличить честного трейдера от манипулятора рынком ( RBC, 22.11.2016 )