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Details about Richard Payne

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Workplace:Cass Business School, City University, (more information at EDIRC)

Access statistics for papers by Richard Payne.

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

Short-id: ppa734


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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 Downloads View citations (15)

2015

  1. Profiting from Mimicking Strategies in Non-Anonymous Markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. What Do Stock Markets Tell Us About Exchange Rates?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in Bank of England working papers, Bank of England (2015) Downloads View citations (14)

    See also Journal Article in Review of Finance (2016)

2003

  1. Macroeconomic news, order flows and exchange rates
    FMG Discussion Papers, Financial Markets Group Downloads View citations (15)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (1)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2008)

2002

  1. A transaction level study of the effects of central bank intervention on exchange rates
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2001) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (6)

    See also Journal Article in Journal of International Economics (2003)
  2. Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (2)

    See also Journal Article in Economic Policy (2002)
  3. Dealer liquidity in an auction market: evidence fom the London Stock Exchange
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2002) Downloads View citations (1)

    See also Journal Article in Economic Journal (2007)

1999

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

1997

  1. An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
    FMG Discussion Papers, Financial Markets Group Downloads View citations (7)
  2. The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour
    FMG Discussion Papers, Financial Markets Group Downloads View citations (12)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1998)

1996

  1. Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
    FMG Discussion Papers, Financial Markets Group Downloads View citations (27)

1995

  1. 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 Downloads View citations (5)

Journal Articles

2016

  1. What Do Stock Markets Tell Us about Exchange Rates?
    Review of Finance, 2016, 20, (3), 1045-1080 Downloads View citations (10)
    See also Working Paper (2015)

2015

  1. Order-to-trade ratios and market liquidity
    Journal of Banking & Finance, 2015, 50, (C), 214-223 Downloads View citations (17)

2014

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

2012

  1. Banning short sales and market quality: The UK’s experience
    Journal of Banking & Finance, 2012, 36, (7), 1975-1986 Downloads View citations (27)
  2. Exchange rate determination and inter-market order flow effects
    The European Journal of Finance, 2012, 18, (9), 823-840 Downloads View citations (7)
  3. Liquidity determination in an order-driven market
    The European Journal of Finance, 2012, 18, (9), 799-821 Downloads View citations (10)

2011

  1. On the sources of private information in FX markets
    Journal of Banking & Finance, 2011, 35, (5), 1250-1262 Downloads View citations (23)

2008

  1. Macroeconomic News, Order Flows, and Exchange Rates
    Journal of Financial and Quantitative Analysis, 2008, 43, (2), 467-488 Downloads View citations (56)
    See also Working Paper (2003)

2007

  1. Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange
    Economic Journal, 2007, 117, (522), 1168-1191 Downloads View citations (11)
    See also Working Paper (2002)

2003

  1. A transaction level study of the effects of central bank intervention on exchange rates
    Journal of International Economics, 2003, 61, (2), 331-352 Downloads View citations (64)
    See also Working Paper (2002)
  2. Informed trade in spot foreign exchange markets: an empirical investigation
    Journal of International Economics, 2003, 61, (2), 307-329 Downloads View citations (149)

2002

  1. Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets
    Economic Policy, 2002, 17, (35), 535-552 Downloads View citations (10)
    See also Working Paper (2002)
  2. Real trading patterns and prices in spot foreign exchange markets
    Journal of International Money and Finance, 2002, 21, (2), 203-222 Downloads View citations (80)
    See also Working Paper (1999)

1998

  1. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
    Journal of Financial and Quantitative Analysis, 1998, 33, (3), 383-408 Downloads View citations (104)
    See also Working Paper (1997)

1997

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

1996

  1. Microstructural dynamics in a foreign exchange electronic broking system
    Journal of International Money and Finance, 1996, 15, (6), 829-852 Downloads View citations (31)

Chapters

2003

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

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 Downloads View citations (30)
 
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