Details about Richard Payne

Access statistics for papers by Richard Payne.

Last updated 2012-10-09. Update your information in the RePEc Author Service.

Short-id: ppa734

Working Papers

2003

1. Macroeconomic news, order flows and exchange rates
   FMG Discussion Papers, Financial Markets Group View citations (13)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2008)

2002

2. Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets
   FMG Discussion Papers, Financial Markets Group View citations (3)
   See also Journal Article in Economic Policy (2002)
3. Dealer liquidity in an auction market: evidence fom the London Stock Exchange
   FMG Discussion Papers, Financial Markets Group
   See also Journal Article in Economic Journal (2007)

2001

4. A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
   Also in FMG Discussion Papers, Financial Markets Group (2001) View citations (6)
   See also Journal Article in Journal of International Economics (2003)

1999

5. Real Trading Patterns and Prices in Spot Foreign Exchange Markets
   FMG Discussion Papers, Financial Markets Group View citations (9)
   See also Journal Article in Journal of International Money and Finance (2002)

1997

6. An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
   FMG Discussion Papers, Financial Markets Group View citations (10)
7. The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour
   FMG Discussion Papers, Financial Markets Group View citations (13)
   See also Journal Article in Journal of Financial and Quantitative Analysis (1998)

1996

8. Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
   FMG Discussion Papers, Financial Markets Group View citations (17)

1995

9. One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (5)

Journal Articles

2012

1. Banning short sales and market quality: The UK’s experience
   Journal of Banking & Finance, 2012, 36, (7), 1975-1986 View citations (1)

2011

2. On the sources of private information in FX markets
   Journal of Banking & Finance, 2011, 35, (5), 1250-1262 View citations (3)

2008

3. Macroeconomic News, Order Flows, and Exchange Rates
   Journal of Financial and Quantitative Analysis, 2008, 43, (02), 467-488 View citations (13)
   See also Working Paper (2003)

2007

4. Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange
   Economic Journal, 2007, 117, (522), 1168-1191
   See also Working Paper (2002)

2003

5. A transaction level study of the effects of central bank intervention on exchange rates
   Journal of International Economics, 2003, 61, (2), 331-352 View citations (46)
   See also Working Paper (2001)
6. Informed trade in spot foreign exchange markets: an empirical investigation
   Journal of International Economics, 2003, 61, (2), 307-329 View citations (86)

2002

7. Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets
   Economic Policy, 2002, 17, (35), 535-552 View citations (7)
   See also Working Paper (2002)
8. Real trading patterns and prices in spot foreign exchange markets
   Journal of International Money and Finance, 2002, 21, (2), 203-222 View citations (58)
   See also Working Paper (1999)

1998

9. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
   Journal of Financial and Quantitative Analysis, 1998, 33, (03), 383-408 View citations (57)
   See also Working Paper (1997)

1997

10. Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes
    Journal of International Money and Finance, 1997, 16, (6), 921-930 View citations (5)

1996

11. Microstructural dynamics in a foreign exchange electronic broking system
    Journal of International Money and Finance, 1996, 15, (6), 829-852 View citations (20)

Chapters

1996

1. One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System
   A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 107-182 View citations (19)