Details about Ingrid Ka Man Lo

Access statistics for papers by Ingrid Ka Man Lo.

Last updated 2016-02-08. Update your information in the RePEc Author Service.

Short-id: plo401

Working Papers

2014

1. High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
   Staff Working Papers, Bank of Canada View citations (15)

2011

2. Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market
   Staff Working Papers, Bank of Canada
3. Private Information Flow and Price Discovery in the U.S. Treasury Market
   Staff Working Papers, Bank of Canada
   See also Journal Article in Journal of Banking & Finance (2014)

2008

4. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
   Staff Working Papers, Bank of Canada View citations (3)

2007

5. Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?
   Staff Working Papers, Bank of Canada View citations (1)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2010)
6. Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
   Staff Working Papers, Bank of Canada View citations (1)

2006

7. A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
   Staff Working Papers, Bank of Canada View citations (3)

2005

8. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
   Staff Working Papers, Bank of Canada View citations (1)
9. Order Submission: The Choice between Limit and Market Orders
   Staff Working Papers, Bank of Canada View citations (4)

Journal Articles

2021

1. Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market
   Journal of Banking & Finance, 2021, 133, (C)

2014

2. Private information flow and price discovery in the U.S. treasury market
   Journal of Banking & Finance, 2014, 47, (C), 118-133 View citations (6)
   See also Working Paper (2011)

2011

3. Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
   Journal of Financial and Quantitative Analysis, 2011, 46, (2), 527-551 View citations (93)

2010

4. Order aggressiveness and quantity: How are they determined in a limit order market?
   Journal of International Financial Markets, Institutions and Money, 2010, 20, (3), 213-237 View citations (27)
   See also Working Paper (2007)

2008

5. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system
   Journal of International Money and Finance, 2008, 27, (7), 1056-1073 View citations (15)

2004

6. Portfolio formations can affect asset pricing tests
   Journal of Asset Management, 2004, 5, (3), 203-216