Bruce Mizrach : Citation Profile

Rutgers University-New Brunswick

15

H index

20

i10 index

656

Citations

RESEARCH PRODUCTION:

46

Articles

50

Papers

2

Chapters

RESEARCH ACTIVITY:

   39 years (1986 - 2025). See details.
   Cites by year: 16
   Journals where Bruce Mizrach has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 23 (3.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi12
   Updated: 2025-12-20    RAS profile: 2025-09-08    
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Relations with other researchers

Works with:

Neely, Christopher (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bruce Mizrach.

Is cited by:

Sosvilla-Rivero, Simon (12)

Fleming, Michael (10)

Li, Youwei (9)

Barr, Jason (8)

Haas, Markus (7)

Wieland, Volker (7)

Fullerton, Thomas (7)

Bordo, Michael (6)

Dunne, Peter (6)

Chikhi, Mohammed (6)

Girardi, Alessandro (6)

Cites to:

Fleming, Michael (21)

Bollerslev, Tim (20)

Neely, Christopher (12)

Svensson, Lars (11)

Harris, Jeffrey (10)

Shin, Hyun Song (10)

Engle, Robert (10)

Diebold, Francis (9)

Brock, William (8)

Remolona, Eli (8)

Laurent, Sébastien (7)

Main data

Where Bruce Mizrach has published?

Journals with more than one article published# docs
Economic Synopses5
Journal of Economic Behavior & Organization3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Economic Dynamics and Control3
Journal of Financial Markets2
Journal of Banking & Finance2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
Boston College Working Papers in Economics / Boston College Department of Economics2
Staff Reports / Federal Reserve Bank of New York2
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Bruce Mizrach (2025 and 2024)

YearTitle of citing document
2024Analyzing Reward Dynamics and Decentralization in Ethereum 2.0: An Advanced Data Engineering Workflow and Comprehensive Datasets for Proof-of-Stake Incentives. (2024). Yan, Tao ; Li, Shengnan ; Zhang, Luyao ; Tessone, Claudio J ; Kraner, Benjamin. In: Papers. RePEc:arx:papers:2402.11170.

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2024Approaching multifractal complexity in decentralized cryptocurrency trading. (2024). Zd, Stanislaw Dro ; Stanisz, Tomasz ; Kwapie, Jaroslaw ; Kr, Marcin ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2411.05951.

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2025Looking into informal currency markets as Limit Order Books: impact of market makers. (2025). Figal, Alejandro Garc'Ia ; Mulet, Roberto ; Castellanos, Alejandro Lage. In: Papers. RePEc:arx:papers:2503.03858.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Monetary Policy Shocks: A New Hope. Large Language Models and Central Bank Communication.. (2025). Fernndez-Fuertes, Rubn. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25257.

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2025On-the-run Premia, Settlement Fails, and Central Bank Access. (2025). Schneider, Fabienne. In: Staff Working Papers. RePEc:bca:bocawp:25-19.

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2024Through stormy seas: how fragile is liquidity across asset classes and time?. (2024). Aquilina, Matteo ; Aliyev, Nihad ; Rzayev, Khaladdin ; Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1229.

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2024Outages in sovereign bond markets. (2024). Kerssenfischer, Mark ; Helmus, Caspar. In: Working Paper Series. RePEc:ecb:ecbwps:20242944.

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2024A blockchain-based optimal peer-to-peer energy trading framework for decentralized energy management with in a virtual power plant: Lab scale studies and large scale proposal. (2024). Das, Sajal K ; Alam, Khandoker Shahjahan ; Kaif, A. M. A. Daiyan, . In: Applied Energy. RePEc:eee:appene:v:365:y:2024:i:c:s0306261924006263.

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2024Peer-to-peer multi-period energy market with flexible scheduling on a scalable and cost-effective blockchain. (2024). Scott, Ian J ; Huang, Chung-Ting. In: Applied Energy. RePEc:eee:appene:v:367:y:2024:i:c:s0306261924007141.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Zhuang, Yangyang ; Tang, Pan ; Peng, Hongjuan ; Zhang, Ditian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

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2024Algorithmic trading and mini flash crashes: Evidence from Austria. (2024). Theissen, Erik ; Steffen, Viktoria ; Mestel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400466x.

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2025Role of ECX futures in carbon pricing: Intraday evidence from EU-ETS. (2025). Vadhava, Charu. In: Economics Letters. RePEc:eee:ecolet:v:253:y:2025:i:c:s0165176525002381.

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2024The role of intermediaries in derivatives markets: Evidence from VIX options. (2024). Jacobs, Kris ; Mai, Anh Thu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000276.

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2024Measuring world oil market integration with a Thick Pen. (2024). Jin, Xin ; Gronwald, Marc. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000239.

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2025Does carbon news influence carbon prices?–Taking Chinas carbon market as an example. (2025). Sun, Tao ; Zhang, Heng-Guo. In: Energy. RePEc:eee:energy:v:333:y:2025:i:c:s0360544225029810.

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2024Inflation prediction in emerging economies: Machine learning and FX reserves integration for enhanced forecasting. (2024). Mirza, Nawazish ; Abbas, Syed Kumail ; Umar, Muhammad ; Naqvi, Bushra. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001704.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Zou, MI ; Han, Lin. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819.

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2024Interpretable EU ETS Phase 4 prices forecasting based on deep generative data augmentation approach. (2024). Tang, Zhenpeng ; Cai, YI ; Chen, Kaijie ; Liu, Dinggao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000680.

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2024A bibliometric review of Market Microstructure literature: Current status, development, and future directions. (2024). Thomas, Sony ; Chalissery, Meera Davi ; Krishnan, Anand. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011164.

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2025Transition to proof-of-stake and informed trading. (2025). Choi, Hyung-Eun. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s154461232401599x.

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2025Redefining market interdependencies: The ethereum merges effect on 4IR assets, renewable energy, and tokens. (2025). Naifar, Nader. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017094.

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2025Coarse pricing in QE auctions. (2025). Tsujimoto, Yusuke. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418124000776.

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2024Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul. (2024). Karahan, Cenk C ; Alayan-Gm, Aye. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000929.

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2024Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century. (2024). Yamamoto, Shuhei ; Janzen, Joseph P ; Serra, Teresa. In: Food Policy. RePEc:eee:jfpoli:v:128:y:2024:i:c:s0306919224001283.

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2025Decoding financial markets: Empirical DGPs as the key to model selection and forecasting excellence – A proof of concept. (2025). Stanisic, Nikola ; Sharma, Abhishek ; Koji, Milena ; Vogl, Markus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:666:y:2025:i:c:s0378437125001943.

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2024Integration of the international carbon market: A time-varying analysis. (2024). Scholtens, Bert ; Lyu, Chenyan. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009607.

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2025Carbon pricing and stock performance: are carbon prices already more influential than energy prices?. (2025). Kim, Jeong Won ; Fouquet, Roger ; Broadstock, David C. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128928.

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2024Beneath the Crypto Currents: The Hidden Effect of Crypto “Whales”. (2024). Jagtiani, Julapa ; Chernoff, Alan. In: Working Papers. RePEc:fip:fedpwp:98653.

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2024Towards an ITU Standard for DLT Energy Consumption. (2024). Anthopoulos, Leonidas ; Nikolaou, Ioannis. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:9:p:2222-:d:1388753.

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2025A Hybrid Blockchain Solution for Electric Vehicle Energy Trading: Balancing Proof of Work and Proof of Stake. (2025). Amamra, Sid-Ali. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:7:p:1840-:d:1628697.

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2024The Impact of Cryptocurrency Exposure on Corporate Tax Avoidance Among US Listed Companies. (2024). Gao, LI ; Cui, Junnan ; Wang, Yufei. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:488-:d:1509849.

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2025Machine Learning vs. Econometric Models to Forecast Inflation Rate in Romania? The Role of Sentiment Analysis. (2025). Simionescu, Mihaela. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:1:p:168-:d:1560797.

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2025Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market?. (2025). Mohamad, Azhar. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-025-10998-x.

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2024Analyzing Reward Dynamics and Decentralization in Ethereum 2.0: An Advanced Data Engineering Workflow and Comprehensive Datasets for Proof-of-Stake Incentives. (2024). Yan, Tao ; Li, Shengnan ; Zhang, Luyao ; Tessone, Claudio J ; Kraner, Benjamin. In: OSF Preprints. RePEc:osf:osfxxx:6ceuz.

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2024Analyzing Reward Dynamics and Decentralization in Ethereum 2.0: An Advanced Data Engineering Workflow and Comprehensive Datasets for Proof-of-Stake Incentives. (2024). Yan, Tao ; Kraner, Benjamin ; Li, Shengnan ; Tessone, Claudio J ; Zhang, Luyao. In: OSF Preprints. RePEc:osf:osfxxx:6ceuz_v1.

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2024Size Discount and Size Penalty: Trading Costs in Bond Markets. (2024). Pinter, Gabor ; Zou, Junyuan ; Wang, Chaojun. In: The Review of Financial Studies. RePEc:oup:rfinst:v:37:y:2024:i:7:p:2156-2190..

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2025Distributional equality in Ethereum? On-chain analysis of Ether supply distribution and supply dynamics. (2025). Celig, Tom ; Ockenga, Tim Alvaro ; Schoder, Detlef. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04728-9.

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2024Economic Determinants of Ethereum Transaction Fees in the Priority Fee and Proof of Stake Periods. (2024). Zarifian, Shayan ; Karaivanov, Alexander. In: Discussion Papers. RePEc:sfu:sfudps:dp24-02.

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2024Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. (2024). Shahzad, Syed Jawad Hussain ; Krištoufek, Ladislav ; Bouri, Elie ; Ahmad, Tanveer. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04568-9.

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2025Cleaning the carbon market! Market transparency and market efficiency in the EU ETS. (2025). Kalaitzoglou, Iordanis Angelos. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-024-06032-2.

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2025Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

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2025Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events. (2025). PETITJEAN, Mikael ; Desagre, Christophe ; Laly, Floris. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00726-z.

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2025Active tokens and crypto-asset valuation. (2025). Pantelidis, Konstantinos. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00752-5.

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2025Bitcoin as a financial asset: a survey. (2025). Kang, Daeyun ; Ryu, Doojin ; Webb, Robert I. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00773-0.

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2024On-the-run Premia, Settlement Fails, and Central Bank Access. (2024). Schneider, Fabienne. In: Working Papers. RePEc:szg:worpap:2405.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2024Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data. (2024). Martin, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0148.

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2025Is liquidity provision informative? Evidence from agricultural futures markets. (2025). Ma, Richie R ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:107:y:2025:i:1:p:125-151.

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2024On the solution of games with arbitrary payoffs: An application to an over‐the‐counter financial market. (2024). Papavassiliou, Vassilios ; Leventides, John ; Kollias, Iraklis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1877-1895.

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2025Financialisation of the European Union Emissions Trading System and its influencing factors in quantiles. (2025). Ren, Xiaohang ; Toan, Luu Duc ; Zhou, Jingzi ; Wei, Ping. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:925-940.

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2024Time‐varying price discovery in regular and microbitcoin futures. (2024). Chen, Yulun ; Yang, Jimmy J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:103-121.

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2025Real‐Time Tracking of Public Announcements in the Limit Order Book. (2025). Daniels, Justin ; Frank, Julieta ; Arzandeh, Mehdi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:569-599.

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Works by Bruce Mizrach:

YearTitleTypeCited
2019Location Basis Differentials in Crude Oil Prices In: The Energy Journal.
[Full Text][Citation analysis]		article4
2019Location Basis Differentials in Crude Oil Prices.(2019) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2023Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure In: Papers.
[Full Text][Citation analysis]		paper1
2023An Event Study of the Ethereum Transition to Proof-of-Stake In: Papers.
[Full Text][Citation analysis]		paper22
2023An Event Study of the Ethereum Transition to Proof-of-Stake.(2023) In: Commodities.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2025The Marginal Effects of Ethereum Network MEV Transaction Re-Ordering In: Papers.
[Full Text][Citation analysis]		paper0
1992On Determining the Dimension of Real-Time Stock-Price Data. In: Journal of Business & Economic Statistics.
[Citation analysis]		article21
1987Portfolio and Transactions Demand for Money Under Price Uncertainty In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper0
1988Managing the Dollar: Has the Plaza Agreement Mattered? In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper31
1991Managing the Dollar: Has the Plaza Agreement Mattered?.(1991) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2008A Video Interview with James Hamilton In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2015A video interview of James Stock In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2005A Video Interview of Buz Brock In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2004A Video Interview of Buz Brock.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2010Nonlinear Mean Reversion in EMS Exchange Rates In: Brussels Economic Review.
[Full Text][Citation analysis]		article0
2009An Empirical Analysis of the Shanghai and Shenzen Limit Order Books In: CQE Working Papers.
[Full Text][Citation analysis]		paper2
2013An empirical analysis of the Shanghai and Shenzhen limit order books.(2013) In: Economic Modelling.
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2013An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books.(2013) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2012The Market Microstructure of the European Climate Exchange In: LSF Research Working Paper Series.
[Full Text][Citation analysis]		paper48
2014The market microstructure of the European climate exchange.(2014) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 48		article
2010The Market Microstructure of the European Climate Exchange.(2010) In: Departmental Working Papers.
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2009A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article1
1991Nonconvexities in a stochastic control problem with learning In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
1992The state of economic dynamics: A review essay In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2008Estimating the intensity of choice in a dynamic mutual fund allocation decision In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
2004Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision.(2004) In: Departmental Working Papers.
[Citation analysis]
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2005Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision.(2005) In: Computing in Economics and Finance 2005.
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This paper has nother version. Agregated cites: 28		paper
2010Tail return analysis of Bear Stearns credit default swaps In: Economic Modelling.
[Full Text][Citation analysis]		article1
2010Tail Return Analysis of Bear Stearns Credit Default Swaps.(2010) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1992The distribution of the Theil U-statistic in bivariate normal populations In: Economics Letters.
[Full Text][Citation analysis]		article14
1995New evidence on the effectiveness of foreign exchange market intervention In: European Economic Review.
[Full Text][Citation analysis]		article3
2012Integration of the global carbon markets In: Energy Economics.
[Full Text][Citation analysis]		article24
2016Market quality breakdowns in equities In: Journal of Financial Markets.
[Full Text][Citation analysis]		article13
2013Market Quality Breakdowns in Equities.(2013) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2018The microstructure of a U.S. Treasury ECN: The BrokerTec platform In: Journal of Financial Markets.
[Full Text][Citation analysis]		article53
2009The microstructure of a U.S. Treasury ECN: the BrokerTec platform.(2009) In: Staff Reports.
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2008The Microstructure of a U.S. Treasury ECN: The Brokertec Platform.(2008) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 53		paper
2006Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability.
[Full Text][Citation analysis]		article8
2005Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 8		paper
2008Information shares in the US Treasury market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article84
2007Information shares in the U.S. treasury market.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 84		paper
1994Exchange rate theory: Chaotic models of foreign exchange markets : Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993. In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article0
1996Determining delay times for phase space reconstruction with application to the FF/DM exchange rate In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article4
2009Experts online: An analysis of trading activity in a public Internet chat room In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article18
2004Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room.(2004) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 18		paper
2008The impact of monetary policy on bond returns: A segmented markets approach In: Journal of Economics and Business.
[Full Text][Citation analysis]		article4
1995Target zone models with stochastic realignments: an econometric evaluation In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article32
1993Target zone models with stochastic realignments: an econometric evaluation.(1993) In: Research Paper.
[Citation analysis]
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2009Comment on Modelling nonlinear comovements between time series In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article0
1990A liquidity-in-advance model of the demand for money under price uncertainty In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article4
2020The Stock Markets Wild Ride In: Economic Synopses.
[Full Text][Citation analysis]		article0
2020Secondary Market Corporate Credit Facility Supports Main Street In: Economic Synopses.
[Full Text][Citation analysis]		article1
2020Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities In: Economic Synopses.
[Full Text][Citation analysis]		article0
2020Supporting Small Borrowers: ABS Markets and the TALF In: Economic Synopses.
[Full Text][Citation analysis]		article1
2020Federal Reserve System International Facilities In: Economic Synopses.
[Full Text][Citation analysis]		article1
2006The transition to electronic communications networks in the secondary treasury market In: Review.
[Full Text][Citation analysis]		article31
2007The microstructure of the U.S. treasury market In: Working Papers.
[Full Text][Citation analysis]		paper10
2018Price Impact of Trades and Orders in the U.S. Treasury Securities Market In: Liberty Street Economics.
[Full Text][Citation analysis]		paper0
2020Alternative Trading Systems in the Corporate Bond Market In: Staff Reports.
[Full Text][Citation analysis]		paper0
2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section In: Econometrics.
[Full Text][Citation analysis]		article2
1992Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article43
2006The Enron Bankruptcy: When did the options market in Enron lose it’s smirk? In: Review of Quantitative Finance and Accounting.
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2012The Market Microstructure of the European Climate Exchange In: DEM Discussion Paper Series.
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1998Real versus Pseudo-International Systemic Risk Some Lessons from History.(1998) In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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2011Skyscraper Height and the Business Cycle: International Time Series Evidence In: Working Papers Rutgers University, Newark.
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1997The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options In: Departmental Working Papers.
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1996Forecast Comparison in L2 In: Departmental Working Papers.
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1998A Markov Switching Cookbook In: Departmental Working Papers.
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1998Methods for Extracting the Implied Distributions in Option Prices In: Departmental Working Papers.
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2000Should ECNs be SOES-able? In: Departmental Working Papers.
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2002The Next Tick on Nasdaq: Does Level II Information Matter? In: Departmental Working Papers.
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2002When Did The Smart Money in Enron Lose Its Smirk? In: Departmental Working Papers.
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2003Analyst Recommendations and Nasdaq Market Making Activity In: Departmental Working Papers.
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2004The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach In: Departmental Working Papers.
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2004The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics In: Departmental Working Papers.
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2004The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics.(2004) In: Computing in Economics and Finance 2004.
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2006Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup In: Departmental Working Papers.
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2006Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility In: Departmental Working Papers.
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2006Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility.(2006) In: Competition and Regulation in Network Industries.
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2006The Transition to Electronic Trading in the Secondary Treasury Market In: Departmental Working Papers.
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2006Nonlinear Time Series Analysis In: Departmental Working Papers.
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2006Highs and Lows: A Behavioral and Technical Analysis In: Departmental Working Papers.
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2009Highs and lows: a behavioural and technical analysis.(2009) In: Applied Financial Economics.
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2007Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room In: Departmental Working Papers.
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2007Recovering Probabilistic Information From Options Prices and the Underlying In: Departmental Working Papers.
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2008Jump and Cojump Risk in Subprime Home Equity Derivatives In: Departmental Working Papers.
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2009Integration of the Global Emissions Trading Markets In: Departmental Working Papers.
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2011A Structural Approach To Information Shares In: Departmental Working Papers.
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2013Strategic Interaction in A Stock Trading Chat Room In: Departmental Working Papers.
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2013High Frequency Trading in the Equity Markets During U.S. Treasury POMO In: Departmental Working Papers.
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2018High Frequency Trading in the Equity Markets During US Treasury POMO.(2018) In: Dynamic Modeling and Econometrics in Economics and Finance.
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2015Skyscraper height and the business cycle: separating myth from reality In: Applied Economics.
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