Highest Academic Recognition: Publication by Vincent Fardeau, Assistant Professor at ICEF, in the Prestigious International Peer-Reviewed Journal of Financial Economics

Congratulations to Vincent Fardeau, ICEF Assistant Professor, on acceptance of his paper «Asymmetric Thin Markets» in the international peer-reviewed academic journal The Journal of Financial Economics (JFE). This journal is among the top-3 most prestigious international peer-reviewed journals in finance. Currently, there are only five researchers in Russia who have published in the leading top‑three finance journals — the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. Three of them are faculty members and researchers at ICEF: Alexey Bulatov, Dmitry Makarov, and now Vincent Fardo.

Vincent Fardeau, ICEF HSE Assistant Professor

© ICEF

Using a new equilibrium representation, Vincent Fardeau characterizes dynamic, nonstationary risk-sharing in a complete information setting among strategic traders submitting demand schedules and heterogeneous in risk aversion. In equilibrium, more risk-averse (smaller) traders diversify more aggressively due to endogenously lower price impact. This creates term structure effects, where smaller traders dynamically hedge the persistent order flow of larger, slower traders and become the marginal pricers at short horizons. When pre-announced security issuances (e.g., bond reopenings) or predictable trades take place, the model generates the gradual, V-shaped price response observed around these events and delivers new predictions about institutional trading.