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Details about Bruce Mizrach

E-mail:
Homepage:http://snde.rutgers.edu
Phone:(908) 913-0253
Postal address:Department of Economics Rutgers University 75 Hamilton Street New Brunswick, NJ 08901
Workplace:Department of Economics, Rutgers University-New Brunswick, (more information at EDIRC)

Access statistics for papers by Bruce Mizrach.

Last updated 2014-03-20. Update your information in the RePEc Author Service.

Short-id: pmi12


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Working Papers

2013

  1. An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2009) Downloads

    See also Journal Article in Economic Modelling (2013)
  2. High Frequency Trading in the Equity Markets During U.S. Treasury POMO
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  3. Market Quality Breakdowns in Equities
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  4. Strategic Interaction in A Stock Trading Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

2012

  1. The Market Microstructure of the European Climate Exchange
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2010) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2014)

2011

  1. A Structural Approach To Information Shares
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
  2. Skyscraper Height and the Business Cycle: International Time Series Evidence
    Working Papers Rutgers University, Newark, Department of Economics, Rutgers University, Newark Downloads

2010

  1. Tail Return Analysis of Bear Stearns Credit Default Swaps
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Economic Modelling (2010)

2009

  1. Integration of the Global Emissions Trading Markets
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (4)
  2. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (7)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) Downloads View citations (6)

2008

  1. Jump and Cojump Risk in Subprime Home Equity Derivatives
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (10)

2007

  1. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2008)
  2. Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  3. Recovering Probabilistic Information From Options Prices and the Underlying
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  4. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)

2006

  1. Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    See also Journal Article in Competition and Regulation in Network Industries (2006)
  2. Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  3. Highs and Lows: A Behavioral and Technical Analysis
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Applied Financial Economics (2009)
  4. Nonlinear Time Series Analysis
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
  5. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)

2005

  1. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Journal of Financial Stability (2006)
  2. Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004)

    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2004

  1. A Video Interview of Buz Brock
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
  2. Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Economic Behavior & Organization (2009)
  3. The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  4. The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
    Computing in Economics and Finance 2004, Society for Computational Economics Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) Downloads

2003

  1. Analyst Recommendations and Nasdaq Market Making Activity
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)

2002

  1. The Next Tick on Nasdaq: Does Level II Information Matter?
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
  2. When Did The Smart Money in Enron Lose Its' Smirk?
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)

2000

  1. Should ECNs be SOES-able?
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)

1998

  1. A Markov Switching Cookbook
    Departmental Working Papers, Rutgers University, Department of Economics
  2. Methods for Extracting the Implied Distributions in Option Prices
    Departmental Working Papers, Rutgers University, Department of Economics

1997

  1. The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
    Departmental Working Papers, Rutgers University, Department of Economics

1996

  1. Forecast Comparison in L2
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (8)

1995

  1. A Simple Nonparametric Test for Independence
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (4)
  2. New evidence on the effectiveness of foreign exchange market intervention
    Open Access publications from Tilburg University, Tilburg University Downloads View citations (3)
    See also Journal Article in European Economic Review (1995)
  3. Real Versus Pseudo-International Systemic Risk: Some Lessons from History
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)

1993

  1. Target zone models with stochastic realignments: an econometric evaluation
    Research Paper, Federal Reserve Bank of New York View citations (2)
    See also Journal Article in Journal of International Money and Finance (1995)

Journal Articles

2014

  1. The market microstructure of the European climate exchange
    Journal of Banking & Finance, 2014, 39, (C), 107-116 Downloads
    See also Working Paper (2012)

2013

  1. An empirical analysis of the Shanghai and Shenzhen limit order books
    Economic Modelling, 2013, 34, (C), 37-41 Downloads
    See also Working Paper (2013)

2012

  1. Integration of the global carbon markets
    Energy Economics, 2012, 34, (1), 335-349 Downloads View citations (4)

2010

  1. Nonlinear Mean Reversion in EMS Exchange Rates
    Brussels Economic Review, 2010, 53, (2), 187-199 Downloads
  2. Tail return analysis of Bear Stearns' credit default swaps
    Economic Modelling, 2010, 27, (6), 1529-1536 Downloads
    See also Working Paper (2010)

2009

  1. A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES
    Macroeconomic Dynamics, 2009, 13, (02), 263-277 Downloads
  2. Comment on "Modelling nonlinear comovements between time series"
    Journal of Macroeconomics, 2009, 31, (1), 212-215 Downloads
  3. Experts online: An analysis of trading activity in a public Internet chat room
    Journal of Economic Behavior & Organization, 2009, 70, (1-2), 266-281 Downloads View citations (4)
    See also Working Paper (2004)
  4. Highs and lows: a behavioural and technical analysis
    Applied Financial Economics, 2009, 19, (10), 767-777 Downloads
    See also Working Paper (2006)

2008

  1. A Video Interview with James Hamilton
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 1-5 Downloads
  2. Estimating the intensity of choice in a dynamic mutual fund allocation decision
    Journal of Economic Dynamics and Control, 2008, 32, (12), 3866-3876 Downloads View citations (10)
    See also Working Paper (2005)
  3. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 Downloads View citations (17)
    See also Working Paper (2007)
  4. The impact of monetary policy on bond returns: A segmented markets approach
    Journal of Economics and Business, 2008, 60, (6), 485-501 Downloads View citations (1)
  5. The next tick on Nasdaq
    Quantitative Finance, 2008, 8, (1), 19-40 Downloads View citations (2)

2006

  1. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
    Journal of Financial Stability, 2006, 2, (1), 28-54 Downloads View citations (2)
    See also Working Paper (2005)
  2. Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Competition and Regulation in Network Industries, 2006, 7, (4), 471-486 View citations (1)
    See also Working Paper (2006)
  3. The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?
    Review of Quantitative Finance and Accounting, 2006, 27, (4), 365-382 Downloads View citations (2)
  4. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, (Nov), 527-542 Downloads View citations (11)

2005

  1. A Video Interview of Buz Brock
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 1-5 Downloads
    See also Working Paper (2004)

1996

  1. Determining delay times for phase space reconstruction with application to the FF/DM exchange rate
    Journal of Economic Behavior & Organization, 1996, 30, (3), 369-381 Downloads View citations (1)

1995

  1. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 Downloads View citations (3)
    See also Working Paper (1995)
  2. Target zone models with stochastic realignments: an econometric evaluation
    Journal of International Money and Finance, 1995, 14, (5), 641-657 Downloads View citations (23)
    See also Working Paper (1993)

1994

  1. Exchange rate theory: Chaotic models of foreign exchange markets: Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993
    Journal of Economic Behavior & Organization, 1994, 25, (3), 473-475 Downloads

1992

  1. Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates
    Journal of Applied Econometrics, 1992, 7, (S), S151-63 Downloads View citations (15)
  2. On Determining the Dimension of Real-Time Stock-Price Data
    Journal of Business & Economic Statistics, 1992, 10, (3), 367-74 View citations (7)
  3. The distribution of the Theil U-statistic in bivariate normal populations
    Economics Letters, 1992, 38, (2), 163-167 Downloads View citations (8)
  4. The state of economic dynamics: A review essay
    Journal of Economic Dynamics and Control, 1992, 16, (1), 175-190 Downloads

1991

  1. Managing the Dollar: Has the Plaza Agreement Mattered?
    Journal of Money, Credit and Banking, 1991, 23, (4), 742-51 Downloads View citations (19)
  2. Nonconvexities in a stochastic control problem with learning
    Journal of Economic Dynamics and Control, 1991, 15, (3), 515-538 Downloads View citations (14)

1990

  1. A liquidity-in-advance model of the demand for money under price uncertainty
    Journal of Monetary Economics, 1990, 26, (1), 143-159 Downloads View citations (3)

1986

  1. The Stability of Money Demand and Forecasting through Changes in Regimes [The Demand for Money Revisited] [The Case of the Missing Money]
    The Review of Economics and Statistics, 1986, 68, (2), 324-28 Downloads

Chapters

2012

  1. Comment on "Endogenous and Systemic Risk"
    A chapter in Quantifying Systemic Risk, 2012, pp 94-105 Downloads View citations (1)

Editor

  1. Studies in Nonlinear Dynamics & Econometrics
    De Gruyter
 
Page updated 2014-04-20