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Andrey Pankratov

http://usi.to/u56

Biography

In 2008, I received a master’s degree in mathematics from Lomonosov Moscow State University. From 2008 to 2015 I worked in the financial industry. My main focus was risk management, I worked for insurance companies, banks and an asset-management firm.

Currently, I am a PhD candidate in finance at the USI Lugano and Swiss Finance Institute. My research interests are the organization of financial markets (a.k.a. market microstructure), market frictions, and market efficiency. In my work, I aim to model realistic frictions in financial markets that hinder informational transparency. I analyze the mechanism of informational transmission in markets with informed short-sellers, and asset lenders. Also, I explain theoretically a well-known empirical phenomenon of asymmetric volatility (a.k.a. “leverage” effect).