Details about Richard Payne

Access statistics for papers by Richard Payne.

Last updated 2016-07-15. Update your information in the RePEc Author Service.

Short-id: ppa734

Working Papers

2016

1. Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act
   Bank of England working papers, Bank of England View citations (28)

2015

2. Profiting from Mimicking Strategies in Non-Anonymous Markets
   MPRA Paper, University Library of Munich, Germany View citations (1)
3. What Do Stock Markets Tell Us About Exchange Rates?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
   Also in Bank of England working papers, Bank of England (2015) View citations (18)
   See also Journal Article What Do Stock Markets Tell Us about Exchange Rates?, Review of Finance, European Finance Association (2016) View citations (36) (2016)

2003

4. Macroeconomic news, order flows and exchange rates
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (16)
   Also in FMG Discussion Papers, Financial Markets Group (2003) View citations (14)
   See also Journal Article Macroeconomic News, Order Flows, and Exchange Rates, Journal of Financial and Quantitative Analysis, Cambridge University Press (2008) View citations (90) (2008)

2002

5. Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets
   FMG Discussion Papers, Financial Markets Group View citations (6)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (2)
6. Dealer liquidity in an auction market: evidence fom the London Stock Exchange
   FMG Discussion Papers, Financial Markets Group View citations (2)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (5)
   See also Journal Article Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange, Economic Journal, Royal Economic Society (2007) View citations (13) (2007)

2001

7. 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 (7)
   Also in FMG Discussion Papers, Financial Markets Group (2001) View citations (7)
   See also Journal Article A transaction level study of the effects of central bank intervention on exchange rates, Journal of International Economics, Elsevier (2003) View citations (91) (2003)

1999

8. Real Trading Patterns and Prices in Spot Foreign Exchange Markets
   FMG Discussion Papers, Financial Markets Group View citations (9)
   See also Journal Article Real trading patterns and prices in spot foreign exchange markets, Journal of International Money and Finance, Elsevier (2002) View citations (89) (2002)

1997

9. An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
   FMG Discussion Papers, Financial Markets Group View citations (7)
10. The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour
    FMG Discussion Papers, Financial Markets Group View citations (11)
    See also Journal Article The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior, Journal of Financial and Quantitative Analysis, Cambridge University Press (1998) View citations (151) (1998)

1996

11. Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
    FMG Discussion Papers, Financial Markets Group View citations (26)

1995

12. 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 (7)

Journal Articles

2016

1. What Do Stock Markets Tell Us about Exchange Rates?
   Review of Finance, 2016, 20, (3), 1045-1080 View citations (36)
   See also Working Paper What Do Stock Markets Tell Us About Exchange Rates?, CEPR Discussion Papers (2015) View citations (20) (2015)

2015

2. Order-to-trade ratios and market liquidity
   Journal of Banking & Finance, 2015, 50, (C), 214-223 View citations (31)

2014

3. Trading anonymity and order anticipation
   Journal of Financial Markets, 2014, 21, (C), 1-24 View citations (5)

2012

4. Banning short sales and market quality: The UK’s experience
   Journal of Banking & Finance, 2012, 36, (7), 1975-1986 View citations (43)
5. Exchange rate determination and inter-market order flow effects
   The European Journal of Finance, 2012, 18, (9), 823-840 View citations (13)
6. Liquidity determination in an order-driven market
   The European Journal of Finance, 2012, 18, (9), 799-821 View citations (12)

2011

7. On the sources of private information in FX markets
   Journal of Banking & Finance, 2011, 35, (5), 1250-1262 View citations (30)

2008

8. Macroeconomic News, Order Flows, and Exchange Rates
   Journal of Financial and Quantitative Analysis, 2008, 43, (2), 467-488 View citations (90)
   See also Working Paper Macroeconomic news, order flows and exchange rates, LSE Research Online Documents on Economics (2003) View citations (16) (2003)

2007

9. Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange
   Economic Journal, 2007, 117, (522), 1168-1191 View citations (13)
   See also Working Paper Dealer liquidity in an auction market: evidence fom the London Stock Exchange, FMG Discussion Papers (2002) View citations (2) (2002)

2003

10. 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 (91)
    See also Working Paper A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates, CEPR Discussion Papers (2001) View citations (7) (2001)
11. Informed trade in spot foreign exchange markets: an empirical investigation
    Journal of International Economics, 2003, 61, (2), 307-329 View citations (177)

2002

12. Real trading patterns and prices in spot foreign exchange markets
    Journal of International Money and Finance, 2002, 21, (2), 203-222 View citations (89)
    See also Working Paper Real Trading Patterns and Prices in Spot Foreign Exchange Markets, FMG Discussion Papers (1999) View citations (9) (1999)

1998

13. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
    Journal of Financial and Quantitative Analysis, 1998, 33, (3), 383-408 View citations (151)
    See also Working Paper The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour, FMG Discussion Papers (1997) View citations (11) (1997)

1997

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

1996

15. Microstructural dynamics in a foreign exchange electronic broking system
    Journal of International Money and Finance, 1996, 15, (6), 829-852 View citations (34)

Chapters

2003

1. Trading activity, volatility and transactions costs in spot FX markets
   Chapter 7 in Monetary History, Exchange Rates and Financial Markets, 2003

1996

2. 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 (50)