Artem Neklyudov

Assistant Professor of Finance

Curriculum Vitae

Research Interests:

Asset pricing with search frictions, over-the-counter markets and dealer networks, market microstructure, information frictions and insider trading.

Contacts:

Department of Finance HEC
University of Lausanne and Swiss Finance Institute
Extranef, 2nd floor, Office 238
Lausanne CH-1015

artem.neklyudov@unil.ch
+41 21 692-3674
+1 (662) 729-1812

Forthcoming and Working Papers

Bid-Ask Spreads, Trading Networks and the Pricing of Securitizations (joint work with Burton Hollifield and Chester Spatt) * forthcoming in the RFS.

We study the structure of the intermediary network in securitized products (ABS, CDO, CMBS, Non-agency CMO) and the nature of bid-ask spreads in Registered and Rule 144a instruments.

Bid-Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers

In a search model of over-the-counter markets I demonstrate that average bid-ask spreads for more efficient dealers are lower, due to lower variability of their reservation values.

Endogenous Specialization and Dealer Networks (joint work with Batchimeg Sambalaibat)

We build a search-based model of network formation and propose that a core-periphery network arises from specialization. Dealers endogenously specialize in different clients with different liquidity needs.

Overlapping Information Production about Asset-Backed Securitizations

This paper justifies low levels of adverse selection in the secondary markets for securitized ABS and MBS instruments in normal times, and provides a framework to analyze how private information production about asset-backed securities responds to changes in the economic environment.

Conferences

AFA 2011 (travel grant), 2013, 2014

WFA 2011, 2012, 2013, 2014

CICF 2014

Chicago Fed Workshop on Money, Banking, Payments and Finance, 2012, 2013, 2014

NBER Market Microstructure Meeting, 2012, 2013

Sixth Erasmus Liquidity Conference, 2013

Annual Central Bank Workshop on the Microstructure of Financial Markets, 2012, 2014

Chicago-Argonne Initiative for Computational Economics, 2010

Education

PhD in Financial Economics (2013)

Tepper Business School, Carnegie Mellon University, Pittsburgh, USA

BSc in Economics (2007) first class honors

University of London External Programme, London, UK (recipient of one of the two scholarships worldwide by LSE External Study office)

BSc in Economics (2007) first class honors

International College of Economics and Finance (ICEF), Higher School of Economics, Moscow, Russia

All-Russia Economic Olympiad Winner, 2003