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Publications
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Do Speculators Drive Crude Oil Futures Prices (with Jeffrey Harris), The Energy Journal, Vol. 32, No. 2, pp. 167-202, 2011.
PUBLISHED WORKS
- The Mechanics of the Derivatives Markets: What They Are and How They Function, Special Supplement to the April 2011 Oil Market Report, IEA, Paris, April 2011.
- The Puzzle of Privately-Imposed Price Limits: Are the Limits Imposed by Financial Exchanges Effective (with David Reiffen), IEB International Journal of Business, Vol. 1, No. 1, pp 110-143, January 2011.
- Commodities and Equities: Ever A "Market of One"? (with Michael Haigh and Michel Robe), Journal of Alternative Investment, Vol 12(3), pp. 76-95, Winter 2010.
- The Changing Structure of Energy Futures Markets (with Michel Robe, Jeffrey Harris & James Overdahl), in Finance et Valeurs, A. Corhay, G. Hubner and A. Mueller Eds., ULG Press, Belgium, 2009.
- An Information -Theoretic Approach for Estimation and Image Reconstruction (with Amos Golan and Avinash Bhati), Proceedings of the American Statistical Association, Alexandria, VA: American Statistical Association, 2005.
- Options for Eligibility Criteria and Payment Schemes: A Quantitative Analysis (with Claus Pram Astrup), World Bank, Social Safety Reform Project, Washington, D.C. , June 2005.
- An Information-Theoretic Approach for Image Reconstruction: The Black and White Case (with Amos Golan and Avinash Bhati), in K. Knuth, eds., Bayesian Inference and Maximum Entropy Methods in Science and Engineering: 25th International Workshop, (MAXENT 2005).
- Currency Substitution, Seignorage and Hysteresis: Evidence from Turkey, Doctoral Dissertation, American University, June 2002.
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Do Institutional Traders Predict Bull and Bear Markets? (with Celso Brunetti and Jeff Harris), CFTC and IEA Working Paper, Washington DC and Paris, August 2011.
Work in Progress
- Do OPEC Members Know Something the Market Doesn't? 'Fair Price' Pronouncements and the Market Price of Crude Oil (with Michel Robe, Celso Brunetti and Kirsten Soneson), CFTC and IEA Working Paper, Washington DC and Paris, August 2011.
- Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements (with Michel Robe), CFTC and IEA Working Paper, Washington DC and Paris, May 2011.
- Speculators, Prices and Market Volatility (with Celso Brunetti and Jeffrey Harris), CFTC and IEA Working Paper, Washington DC and Paris, January 2011.
- Speculators, Commodities and Cross-Market Linkages (with Michel Robe), CFTC Working Paper, Washington DC , November 2010.
- The Prevalence, Sources, and Effects of Herding (with Naomi Boyd, Michael Haigh and Jeffrey H. Harris), CFTC Working Paper , Washington DC, September 2010.
- Speculators and Hedgers: On the Classification of Traders in Commodity Futures Markets (with Jeffrey Harris, James Overdahl and Michel Robe), CFTC Working Paper, Washington DC, May 2009.
- Is Speculation Destabilizing? (with Celso Brunetti ), CFTC Working Paper, Washington DC, April 2009.
- Fundamentals,Trader Activity and Derivative Pricing (with Michael Haigh, Michel Robe, Jeffrey Harris and James Overdahl), CFTC Working Paper, Washington DC, December 2008.
- Error Trades in Futures Markets (with Michael Haigh and Jeff Harris), CFTC Working Paper, Washington DC, January 2007.