Ingrid Ka Man Lo : Citation Profile

Are you Ingrid Ka Man Lo?

Victoria University of Wellington

5

H index

4

i10 index

113

Citations

RESEARCH PRODUCTION:

4

Articles

9

Papers

RESEARCH ACTIVITY:

   9 years (2005 - 2014). See details.
   Cites by year: 12
   Journals where Ingrid Ka Man Lo has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 4 (3.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo401
   Updated: 2020-03-21    RAS profile: 2016-02-08    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ingrid Ka Man Lo.

Is cited by:

Dungey, Mardi (6)

Bień-Barkowska, Katarzyna (6)

Stenfors, Alexis (4)

Li, Youwei (4)

Urga, Giovanni (4)

Rime, Dagfinn (3)

Mehl, Arnaud (3)

Corsetti, Giancarlo (3)

Boudt, Kris (2)

Prokopczuk, Marcel (2)

Bollerslev, Tim (2)

Cites to:

Foucault, Thierry (16)

Engle, Robert (5)

Vega, Clara (5)

Andersen, Torben (5)

Bollerslev, Tim (5)

Viswanathan, S (4)

Biais, Bruno (4)

Theissen, Erik (4)

Evans, Martin (4)

Easley, David (4)

Lyons, Richard (4)

Main data

Where Ingrid Ka Man Lo has published?

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada9

Recent works citing Ingrid Ka Man Lo (2018 and 2017)

YearTitle of citing document
2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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2019Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, R ; Corsetti, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1970.

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2019Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Discussion Papers. RePEc:cfm:wpaper:1914.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2019Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Working Paper Series. RePEc:ecb:ecbwps:20192300.

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2019External financial liabilities and real exchange rate jumps. (2019). Zhu, Jiaqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:202-220.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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2017Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2017Press freedom and jumps in stock prices. (2017). Masrorkhah, Sara Abed ; Lehnert, Thorsten. In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:1:p:151-162.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2018The microstructure of a U.S. Treasury ECN: The BrokerTec platform. (2018). Fleming, Michael ; Nguyen, Giang ; Mizrach, Bruce. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:2-22.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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2018Central bank communication and financial markets: New high-frequency evidence. (2018). Horvath, Roman ; Gertler, Pavel. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:336-345.

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2017Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2019Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2019Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:186-207.

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2018Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets. (2018). Kuttu, Saint ; Bokpin, Godfred A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:211-226.

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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Working Papers. RePEc:fip:fedlwp:2017-011.

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2018Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang. In: Staff Reports. RePEc:fip:fednsr:590.

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2018An Empirical Research on Bank Client Credit Assessments. (2018). Chen, Quan ; Hsu, Chao-Feng ; Chang, Li-Chung ; Wang, Jiangtao ; Zheng, Yuxiang ; Li, Guodong ; Zhou, Jie ; Chu, Chien-Chi ; Zhai, Yuming ; Tsai, Sang-Bing. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1406-:d:144284.

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2017Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

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2018Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market. (2018). Kumano, Yusuke ; Goshima, Keiichi. In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-13.

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2018Testing for Co-jumps in Financial Markets. (2018). Novotn, Jan ; Urga, Giovanni. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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2018Volume, Volatility, and Public News Announcements. (2018). Bollerslev, Tim ; Xue, Yuan ; Li, Jia. In: Review of Economic Studies. RePEc:oup:restud:v:85:y:2018:i:4:p:2005-2041..

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2017Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-04.

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2017Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-06.

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2018Spoofing and Pinging in Foreign Exchange Markets. (2018). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2018-05.

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2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Zhou, Jie ; Wu, Shuai ; Zhu, Zhican ; Jian, Zhihong. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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2019The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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Works by Ingrid Ka Man Lo:

YearTitleTypeCited
2005Order Submission: The Choice between Limit and Market Orders In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2005An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2006A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2007Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? In: Staff Working Papers.
[Full Text][Citation analysis]		paper18
2010Order aggressiveness and quantity: How are they determined in a limit order market?.(2010) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2007Price Formation and Liquidity Provision in Short-Term Fixed Income Markets In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2008Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2011Private Information Flow and Price Discovery in the U.S. Treasury Market In: Staff Working Papers.
[Full Text][Citation analysis]		paper5
2014Private information flow and price discovery in the U.S. treasury market.(2014) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2011Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2014High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market In: Staff Working Papers.
[Full Text][Citation analysis]		paper10
2011Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article60
2008The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article12

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