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RobHayward microstructure [28 articles]

Recent papers added to RobHayward library classified by the tag microstructure. You can also see everyone's microstructure.
  • Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
    (February 2008)
    by Viral V Acharya, Stephen Schaefer, Yili Zang
    posted to credit finance microstructure by RobHayward on 2008-08-14 07:56:35 as **
  • The Microstructure Approach to Exchange Rates
    (17 February 2006)
    by RK Lyons
    posted to fx microstructure by RobHayward on 2008-08-13 20:33:28 as **
  • Noise Trader Risk in Financial Markets
    The Journal of Political Economy, Vol. 98, No. 4. (1990), pp. 703-738.
    by Bradford J Delong, Andrei Shleifer, Lawrence H Summers, Robert J Waldmann
    posted to behaviour emh expectations finance microstructure momentum noise by RobHayward on 2008-07-30 10:54:25 as ***** along with 1 person toomash
  • Do Bears and Bulls Move Across Borders? International Transmission of Stock Returns and Volatility
    The Review of Financial Studies, Vol. 7, No. 3. (1994), pp. 507-538.
    by Wen-Ling Lin, Robert F Engle, Takatoshi Ito
    posted to capm finance information microstructure by RobHayward on 2008-06-25 08:05:23 as **
  • Legal insider trading and market efficiency
    Journal of Banking & Finance, Vol. 32, No. 7. (July 2008), pp. 1379-1392.
    by Nihat Aktas, Eric de Bodt, Hervé Van Oppens
    posted to information microstructure by RobHayward on 2008-05-26 09:18:41 as **
  • The Timing and Funding of CHAPS Sterling Payments
    FRBNY Economic Policy Review (2008)
    by Christopher Becher, Marco Galbiati, Merxe Tudela
    posted to bank liquidity microstructure by RobHayward on 2008-03-19 19:56:07 as **
  • Liquidity and correlation risk: A clinical study of the General Motors and Ford downgrade of May 2005
    (February 2008)
    by Viral V Acharya, Stephen Schaefer, Yili Zhang
    posted to finance liquidity markets microstructure by RobHayward on 2008-03-16 19:53:17 as **
  • Traders' Expectations in Asset Markets: Experimental Evidence
    The American Economic Review, Vol. 97, No. 5. (December 2007), pp. 1901-1920.
    by Haruvy, Ernan, Lahav, Yaron, Noussair, N Charles
    posted to behaviour expectations microstructure trading by RobHayward on 2008-03-03 21:04:31 as **
  • The Returns to Currency Speculation
    (October 2006)
    by Craig Burnside, Martin Eichenbaum, Isaac Kleshchelski, Sergio Rebelo
    posted to emh forward fx microstructure by RobHayward on 2008-03-02 20:14:38 as *****
  • The information content of net buying pressure: Evidence from the KOSPI 200 index option market
    Journal of Financial Markets, Vol. 11, No. 1. (February 2008), pp. 36-56.
    by Jangkoo Kang, Hyoung-Jin Park
    posted to behaviour microstructure momentum sentiment by RobHayward on 2008-01-17 09:36:42 as *****
  • Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964-2005
    Journal of Multinational Financial Management, Vol. 17, No. 5. (December 2007), pp. 432-447.
    by Emilios C Galariotis, Phil Holmes, Xiaodong S Ma
    posted to behaviour emh microstructure momentum by RobHayward on 2007-11-08 12:34:54 as ***
  • notes How Do Treasury Dealers Manage Their Positions
    FRNY Staff Report 299 (August 2007)
    by Michael J Fleming, Joshua V Rosenberg
    posted to bond markets microstructure by RobHayward on 2007-08-23 09:53:27 as ***
  • Rational Frenzies and Crashes
    Journal of Political Economy, Vol. 102, No. 11.
    by Jeremy Bulow, Paul Klemperer
    posted to microstructure trading by RobHayward on 2007-08-17 08:42:26 as ***
  • The informational role of open interest in futures markets
    Applied Economics Letters, Vol. 11, No. 9. (2004), pp. 569-573.
    by Jian Yang, David A Bessler, Hung-Gay Fung
    posted to commodities finance information microstructure momentum by RobHayward on 2007-06-28 06:20:52 as ** along with 1 person chapados
  • Price Impacts of Deals and Predictability of the Exchange Rate Movements
    NBER Working Paper No.12682 (November 2006)
    by T Ito, Y Hashimoto
    posted to fx microstructure by RobHayward on 2007-04-14 08:07:47 as **
  • Dealer behavior in the specials market for US Treasury securities
    Journal of Financial Intermediation, Vol. 16, No. 2. (April 2007), pp. 204-228.
    by Michael J Fleming, Kenneth D Garbade
    posted to bond finance markets microstructure by RobHayward on 2007-04-12 10:01:26 as ****
  • Market Structure and Dealers' Quoting Behavior In the Foreign Exchange Market
    Journal of International Financial Markets, Institutions and Money, Vol. In Press, Accepted Manuscript
    by Liang Ding
    posted to fx markets microstructure by RobHayward on 2007-03-18 16:16:38 as ****
  • The microstructure of the Canada/U.S. dollar exchange rate: A robustness test
    Economics Letters, Vol. In Press, Corrected Proof
    by Nikola Gradojevic
    posted to fx microstructure by RobHayward on 2006-12-12 08:25:47 as ***
  • Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market
    Journal of Financial Markets, Vol. 9, No. 4. (November 2006), pp. 408-432.
    by Randi Naes, Johannes A Skjeltorp
    posted to microstructure by RobHayward on 2006-11-07 08:22:13 as **
  • Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU
    Global Finance Journal, Vol. 17, No. 1. (September 2006), pp. 23-49.
    by Frank Mcgroarty, Ap, Stephen Thomas
    posted to fx microstructure by RobHayward on 2006-09-29 17:27:34 as **
  • Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
    NBER Working Paper No. W12376
    by Alessandro Beber, Michael Brandt, Kenneth Kavajecz
    posted to bond liquidity microstructure by RobHayward on 2006-09-29 07:01:14 as ***
  • Clustering and psychological barriers in exchange rates
    Journal of International Financial Markets, Institutions and Money, Vol. 16, No. 4. (October 2006), pp. 318-344.
    by Jason Mitchell, HY Izan
    posted to behaviour fx microstructure by RobHayward on 2006-09-01 14:02:26 as **
  • Profits and speculation in intra-day foreign exchange trading
    Journal of Financial Markets, Vol. 9, No. 3. (August 2006), pp. 223-245.
    by Alexander Mende, Lukas Menkhoff
    posted to fx microstructure by RobHayward on 2006-08-07 07:19:00 as **
  • Asset Prices When Agents are Marked-to-Market
    NBER Working Paper No. W12075
    by Gary Gorton, Ping He, Lixin Huang
    posted to markets microstructure by RobHayward on 2006-05-19 06:01:21 as ***
  • Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
    Journal of Financial Economics, Vol. 80, No. 2. (May 2006), pp. 309-349.
    by Ronnie Sadka
    posted to behaviour capm equity finance microstructure by RobHayward on 2006-05-02 13:10:30 as *****
  • Variation, jumps, market frictions and high frequency data in financial econometrics
    No 2005-W16, Economics Papers from Economics Group, Nuffield College, University of Oxford
    by Ole
    posted to markets microstructure by RobHayward on 2006-04-15 10:18:00 as **
  • The transition to electronic trading in the secondary treasury market
    No 2006-012, Working Papers from Federal Reserve Bank of St. Louis
    by Bruce Mizrach, Christopher J Neely
    posted to microstructure finance markets by RobHayward on 2006-04-15 10:07:52 as **
  • Were bid-ask spreads in the FX market excessive during the Asian crisis?
    International Review of Financial Analysis, Vol. In Press, Corrected Proof
    by Torbjorn Becker, Amadou Sy
    posted to fx microstructure by RobHayward on 2006-04-06 16:12:58 as **
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