Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

A Politics of the Unspeakable: The Differend of Israel

Israel's establishment in 1948 in former British-Mandate Palestine as a Jewish country and as a liberal democracy is commonly understood as a form of response to the Holocaust of WWII. Zionist narratives frame Israel's establishment not only as a response to the Holocaust, but also as a return to the Jewish people's original homeland after centuries of wandering in exile. Debates over Israel's policies, particularly with regard to Palestinians and to the country's non-Jewish population, often center on whether Israel's claims to Jewish singularity are at the expense of principles of liberal democracy, international law and universal human rights. In this dissertation, I argue that Israel's emphasis on Jewish singularity can be understood not as a violation of humanism's universalist frameworks, but as a symptom of the violence inherent to these frameworks and to the modern liberal rights-bearing subject on which they are based. Through an analysis of my fieldwork in Israel (2005-2008), I trace the relation between the figures of "Jew" and "Israeli" in terms of their historical genealogies and in contemporary Israeli contexts. Doing so makes legible how European modernity and its concepts of sovereignty, liberalism, the human, and subjectivity are based on a metaphysics of presence that defines the human through a displacement of difference. This displaced difference is manifest in affective expression. This dissertation shows how the figure of the Jew in relation to Israel reveals sexual difference as under erasure by the suppression of alterity in humanism's configuration of man, woman, and animal, and suggests a political subject unable to be sovereign or fully represented in language.

Hannah Arendt's Theory of Political Judgment

Hannah Arendt's theory of political judgment has been an ongoing perplexity among scholars who have written on her. As a result, her theory of judgment is often treated as a suggestive but unfinished aspect of her thought. Drawing on a wider array of sources than is commonly utilized, I argue that her theory of political judgment was in fact the heart of her work. Arendt's project, in other words, centered around reestablishing the possibility of political judgment in a modern world that historically has progressively undermined it. In the dissertation, I systematically develop an account of Arendt's fundamentally political and non-sovereign notion of judgment. We discover that individual judgment is not arbitrary, and that even in the complex circumstances of the modern world there are valid structures of judgment which can be developed and dependably relied upon. The result of this work articulates a theory of practical reason which is highly compelling: it provides orientation for human agency which does not rob it of its free and spontaneous character; shows how we can improve and cultivate our political judgment; and points the way toward the profoundly intersubjective form of political philosophy Arendt ultimately hoped to develop.

Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.