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Details about Ingrid Ka Man Lo

E-mail: This e-mail address is bad, please ask Ingrid Ka Man Lo to update the entry in the RePEc Author Service or the correct address.
Workplace:School of Economics and Finance, Wellington School of Business and Government, Victoria University of Wellington, (more information at EDIRC)

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


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Working Papers

2014

  1. High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
    Staff Working Papers, Bank of Canada Downloads View citations (9)

2011

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

2008

  1. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2007

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

2006

  1. A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2005

  1. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
    Staff Working Papers, Bank of Canada Downloads View citations (1)
  2. Order Submission: The Choice between Limit and Market Orders
    Staff Working Papers, Bank of Canada Downloads View citations (3)

Journal Articles

2014

  1. Private information flow and price discovery in the U.S. treasury market
    Journal of Banking & Finance, 2014, 47, (C), 118-133 Downloads View citations (5)
    See also Working Paper (2011)

2011

  1. 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 Downloads View citations (64)

2010

  1. 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 Downloads View citations (18)
    See also Working Paper (2007)

2008

  1. 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 Downloads View citations (14)
 
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