Details about Bruce Mizrach

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 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pmi12

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Jump to Journal Articles Chapters

Working Papers

2023

1. An Event Study of the Ethereum Transition to Proof-of-Stake
   Papers, arXiv.org View citations (16)
   See also Journal Article An Event Study of the Ethereum Transition to Proof-of-Stake, Commodities, MDPI (2023) View citations (2) (2023)
2. Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure
   Papers, arXiv.org View citations (2)

2020

3. Alternative Trading Systems in the Corporate Bond Market
   Staff Reports, Federal Reserve Bank of New York

2018

4. Price Impact of Trades and Orders in the U.S. Treasury Securities Market
   Liberty Street Economics, Federal Reserve Bank of New York

2013

5. An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books
   Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
   Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2009)
   See also Journal Article An empirical analysis of the Shanghai and Shenzhen limit order books, Economic Modelling, Elsevier (2013) View citations (2) (2013)
6. High Frequency Trading in the Equity Markets During U.S. Treasury POMO
   Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
   See also Chapter High Frequency Trading in the Equity Markets During US Treasury POMO, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2018) View citations (1) (2018)
7. Market Quality Breakdowns in Equities
   Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
   See also Journal Article Market quality breakdowns in equities, Journal of Financial Markets, Elsevier (2016) View citations (12) (2016)
8. Strategic Interaction in A Stock Trading Chat Room
   Departmental Working Papers, Rutgers University, Department of Economics

2012

9. The Market Microstructure of the European Climate Exchange
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2010) View citations (2)
   See also Journal Article The market microstructure of the European climate exchange, Journal of Banking & Finance, Elsevier (2014) View citations (40) (2014)

2011

10. A Structural Approach To Information Shares
    Departmental Working Papers, Rutgers University, Department of Economics View citations (6)

2010

11. Tail Return Analysis of Bear Stearns Credit Default Swaps
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Tail return analysis of Bear Stearns' credit default swaps, Economic Modelling, Elsevier (2010) View citations (1) (2010)

2009

12. Integration of the Global Emissions Trading Markets
    Departmental Working Papers, Rutgers University, Department of Economics View citations (5)
13. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
    Staff Reports, Federal Reserve Bank of New York View citations (9)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) View citations (6)
    See also Journal Article The microstructure of a U.S. Treasury ECN: The BrokerTec platform, Journal of Financial Markets, Elsevier (2018) View citations (31) (2018)

2008

14. Jump and Cojump Risk in Subprime Home Equity Derivatives
    Departmental Working Papers, Rutgers University, Department of Economics View citations (16)

2007

15. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Information shares in the US Treasury market, Journal of Banking & Finance, Elsevier (2008) View citations (82) (2008)
16. Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics
17. Recovering Probabilistic Information From Options Prices and the Underlying
    Departmental Working Papers, Rutgers University, Department of Economics
18. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)

2006

19. Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
    See also Journal Article Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility, Competition and Regulation in Network Industries, Intersentia (2006) View citations (2) (2006)
20. Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup
    Departmental Working Papers, Rutgers University, Department of Economics
21. Highs and Lows: A Behavioral and Technical Analysis
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article Highs and lows: a behavioural and technical analysis, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (4) (2009)
22. Nonlinear Time Series Analysis
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
23. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)

2005

24. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS)
    See also Journal Article Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts, Journal of Financial Stability, Elsevier (2006) View citations (8) (2006)
25. Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004)
    See also Journal Article Estimating the intensity of choice in a dynamic mutual fund allocation decision, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (28) (2008)

2004

26. A Video Interview of Buz Brock
    Departmental Working Papers, Rutgers University, Department of Economics
    See also Journal Article A Video Interview of Buz Brock, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2005) View citations (1) (2005)
27. Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
    See also Journal Article Experts online: An analysis of trading activity in a public Internet chat room, Journal of Economic Behavior & Organization, Elsevier (2009) View citations (15) (2009)
28. The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
29. The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (1)

2003

30. Analyst Recommendations and Nasdaq Market Making Activity
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)

2002

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

2000

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

1998

34. A Markov Switching Cookbook
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
35. Methods for Extracting the Implied Distributions in Option Prices
    Departmental Working Papers, Rutgers University, Department of Economics

1997

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

1996

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

1995

38. A Simple Nonparametric Test for Independence
    Departmental Working Papers, Rutgers University, Department of Economics View citations (10)
39. Real Versus Pseudo-International Systemic Risk: Some Lessons from History
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    See also Journal Article Real versus Pseudo-International Systemic Risk Some Lessons from History, Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd. (1998) View citations (12) (1998)

1993

40. Target zone models with stochastic realignments: an econometric evaluation
    Research Paper, Federal Reserve Bank of New York View citations (4)
    See also Journal Article Target zone models with stochastic realignments: an econometric evaluation, Journal of International Money and Finance, Elsevier (1995) View citations (32) (1995)

1988

41. Managing the Dollar: Has the Plaza Agreement Mattered?
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article Managing the Dollar: Has the Plaza Agreement Mattered?, Journal of Money, Credit and Banking, Blackwell Publishing (1991) View citations (30) (1991)

1987

42. Portfolio and Transactions Demand for Money Under Price Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics

Journal Articles

2023

1. An Event Study of the Ethereum Transition to Proof-of-Stake
   Commodities, 2023, 2, (2), 1-15 View citations (2)
   See also Working Paper An Event Study of the Ethereum Transition to Proof-of-Stake, Papers (2023) View citations (16) (2023)

2021

2. Bitcoin spot and futures market microstructure
   Journal of Futures Markets, 2021, 41, (2), 194-225 View citations (10)

2020

3. Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities
   Economic Synopses, 2020, (19)
4. Federal Reserve System International Facilities
   Economic Synopses, 2020, (29) View citations (1)
5. New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section
   Econometrics, 2020, 8, (2), 1-52 View citations (1)
6. Secondary Market Corporate Credit Facility Supports Main Street
   Economic Synopses, 2020, (17) View citations (1)
7. Supporting Small Borrowers: ABS Markets and the TALF
   Economic Synopses, 2020, (20) View citations (1)
8. The Stock Market's Wild Ride
   Economic Synopses, 2020, (15)

2019

9. Location Basis Differentials in Crude Oil Prices
   The Energy Journal, 2019, 40, (2_suppl), 41-58
   Also in The Energy Journal, 2019, Volume 40, (Special Issue) (2019) View citations (4)

2018

10. The microstructure of a U.S. Treasury ECN: The BrokerTec platform
    Journal of Financial Markets, 2018, 40, (C), 2-22 View citations (31)
    See also Working Paper The microstructure of a U.S. Treasury ECN: the BrokerTec platform, Staff Reports (2009) View citations (9) (2009)

2016

11. Market quality breakdowns in equities
    Journal of Financial Markets, 2016, 28, (C), 1-23 View citations (12)
    See also Working Paper Market Quality Breakdowns in Equities, Departmental Working Papers (2013) View citations (1) (2013)

2015

12. A video interview of James Stock
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 393-395
13. Skyscraper height and the business cycle: separating myth from reality
    Applied Economics, 2015, 47, (2), 148-160 View citations (13)

2014

14. The market microstructure of the European climate exchange
    Journal of Banking & Finance, 2014, 39, (C), 107-116 View citations (40)
    See also Working Paper The Market Microstructure of the European Climate Exchange, LSF Research Working Paper Series (2012) (2012)

2013

15. An empirical analysis of the Shanghai and Shenzhen limit order books
    Economic Modelling, 2013, 34, (C), 37-41 View citations (2)
    See also Working Paper An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books, Departmental Working Papers (2013) View citations (2) (2013)

2012

16. Integration of the global carbon markets
    Energy Economics, 2012, 34, (1), 335-349 View citations (23)

2010

17. Nonlinear Mean Reversion in EMS Exchange Rates
    Brussels Economic Review, 2010, 53, (2), 187-199
18. Tail return analysis of Bear Stearns' credit default swaps
    Economic Modelling, 2010, 27, (6), 1529-1536 View citations (1)
    See also Working Paper Tail Return Analysis of Bear Stearns Credit Default Swaps, Departmental Working Papers (2010) View citations (1) (2010)

2009

19. A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES
    Macroeconomic Dynamics, 2009, 13, (2), 263-277 View citations (1)
20. Comment on "Modelling nonlinear comovements between time series"
    Journal of Macroeconomics, 2009, 31, (1), 212-215
21. Experts online: An analysis of trading activity in a public Internet chat room
    Journal of Economic Behavior & Organization, 2009, 70, (1-2), 266-281 View citations (15)
    See also Working Paper Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room, Departmental Working Papers (2004) View citations (3) (2004)
22. Highs and lows: a behavioural and technical analysis
    Applied Financial Economics, 2009, 19, (10), 767-777 View citations (4)
    See also Working Paper Highs and Lows: A Behavioral and Technical Analysis, Departmental Working Papers (2006) (2006)

2008

23. A Video Interview with James Hamilton
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 5
24. Estimating the intensity of choice in a dynamic mutual fund allocation decision
    Journal of Economic Dynamics and Control, 2008, 32, (12), 3866-3876 View citations (28)
    See also Working Paper Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision, Computing in Economics and Finance 2005 (2005) View citations (1) (2005)
25. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations (82)
    See also Working Paper Information shares in the U.S. treasury market, Working Papers (2007) View citations (4) (2007)
26. The impact of monetary policy on bond returns: A segmented markets approach
    Journal of Economics and Business, 2008, 60, (6), 485-501 View citations (4)
27. The next tick on Nasdaq
    Quantitative Finance, 2008, 8, (1), 19-40 View citations (5)

2006

28. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
    Journal of Financial Stability, 2006, 2, (1), 28-54 View citations (8)
    See also Working Paper Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts, CFS Working Paper Series (2005) (2005)
29. Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility
    Competition and Regulation in Network Industries, 2006, 7, (4), 471-486 View citations (2)
    See also Working Paper Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility, Departmental Working Papers (2006) View citations (3) (2006)
30. 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 View citations (4)
31. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, 88, (Nov), 527-542 View citations (32)

2005

32. A Video Interview of Buz Brock
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 5 View citations (1)
    See also Working Paper A Video Interview of Buz Brock, Departmental Working Papers (2004) (2004)

1998

33. Real versus Pseudo-International Systemic Risk Some Lessons from History
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1998, 01, (01), 31-58 View citations (12)
    See also Working Paper Real Versus Pseudo-International Systemic Risk: Some Lessons from History, NBER Working Papers (1995) View citations (26) (1995)

1996

34. 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 View citations (4)

1995

35. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 View citations (3)
36. Target zone models with stochastic realignments: an econometric evaluation
    Journal of International Money and Finance, 1995, 14, (5), 641-657 View citations (32)
    See also Working Paper Target zone models with stochastic realignments: an econometric evaluation, Research Paper (1993) View citations (4) (1993)

1994

37. 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

1992

38. Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates
    Journal of Applied Econometrics, 1992, 7, (S), S151-63 View citations (44)
39. On Determining the Dimension of Real-Time Stock-Price Data
    Journal of Business & Economic Statistics, 1992, 10, (3), 367-74 View citations (22)
40. The distribution of the Theil U-statistic in bivariate normal populations
    Economics Letters, 1992, 38, (2), 163-167 View citations (14)
41. The state of economic dynamics: A review essay
    Journal of Economic Dynamics and Control, 1992, 16, (1), 175-190

1991

42. Managing the Dollar: Has the Plaza Agreement Mattered?
    Journal of Money, Credit and Banking, 1991, 23, (4), 742-51 View citations (30)
    See also Working Paper Managing the Dollar: Has the Plaza Agreement Mattered?, Boston College Working Papers in Economics (1988) (1988)
43. Nonconvexities in a stochastic control problem with learning
    Journal of Economic Dynamics and Control, 1991, 15, (3), 515-538 View citations (17)

1990

44. A liquidity-in-advance model of the demand for money under price uncertainty
    Journal of Monetary Economics, 1990, 26, (1), 143-159 View citations (4)

1986

45. 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

Chapters

2018

1. High Frequency Trading in the Equity Markets During US Treasury POMO
   Springer View citations (1)
   See also Working Paper High Frequency Trading in the Equity Markets During U.S. Treasury POMO, Rutgers University, Department of Economics (2013) View citations (1) (2013)

2012

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