Fixed event windows assume the market response completes inside a preset clock. Execution frictions and liquidity conditions can stage the response, so the measured shock can be incomplete or noisy.
PhD Proposal
Liquidity-aware event windows for macro shocks.
This project re-examines high-frequency identification of monetary policy shocks by replacing fixed event windows with a market mechanics-aware process.
The window closes when bid-ask spreads and depth normalise towards pre-event baselines and when the initial impulse region is revisited. A Time-to-Delivery metric records the mechanical delivery phase.
Aligning the window to observable market mechanics should produce cleaner, more comparable shock series across regimes in rates, equities, and FX.
Selected references: Gurkaynak, Sack & Swanson (2005); Jarocinski & Karadi (2020); Miranda-Agrippino & Ricco (2021); Veronesi (2002).
Projects
Research outputs in progress.
PhD Proposal
High-frequency macro shock identification with liquidity-aware windows.
Articles
Applied notes on price discovery, EMH, pockets, and market learning.
Theories
Market microstructure theory connected to observable delivery signatures.
Disclaimers
Educational content only
This material is provided for educational and demonstration purposes only. It is not a personal recommendation to buy, sell, or hold any financial instrument.
Risk warning
Trading futures, forex, options, and leveraged instruments carries substantial risk. You may lose some or all of your capital, and you should only trade with funds you can afford to lose.
Performance limits
Past performance is not a reliable indicator of future results. Live, simulated, or hypothetical examples may differ materially from outcomes achieved in real market conditions.