Sean Foley

Macquarie University

North Ryde

Sydney, New South Wales 2109

Australia

SCHOLARLY PAPERS

31

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54

Scholarly Papers (31)

1.

Sex, Drugs, and Bitcoin: How Much Illegal Activity Is Financed Through Cryptocurrencies?

Review of Financial Studies, Forthcoming
Number of pages: 63 Posted: 17 Jan 2018 Last Revised: 15 Dec 2018
Macquarie University, The University of Western Australia and University of Technology Sydney (UTS)
Downloads 16,709 (451)
Citation 226

Abstract:

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blockchain, bitcoin, detection controlled estimation, illegal trade, black market

2.
Downloads 15,961 ( 454)
Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 15,961 (481)
Citation 12

Abstract:

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nonstandard errors, multi-analyst study, liquidity

Better than Bitcoin? Can cryptocurrencies beat inflation?

Number of pages: 14 Posted: 24 Nov 2021
University of Technology Sydney, Macquarie University, The University of Western Australia and The University of Sydney - Discipline of Finance
Downloads 1,699 (20,126)

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Bitcoin, Ethereum, cryptocurrency, deflationary, gold, inflation

Better than Bitcoin? Can Cryptocurrencies Beat Inflation?

Number of pages: 15 Posted: 07 Dec 2021
University of Technology Sydney, Macquarie University, The University of Western Australia and The University of Sydney - Discipline of Finance
Downloads 208 (279,260)

Abstract:

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E31 G18 O31 O32 O33

4.

The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets

Number of pages: 66 Posted: 28 Oct 2016 Last Revised: 20 Nov 2017
University of New South Wales (UNSW), Macquarie University, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 1,457 (25,898)
Citation 12

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Market Design, Speed Bump, Quote Fade, Liquidity Provision

5.

Price Discovery in Stock and Options Markets

Journal of Financial Markets, Forthcoming
Number of pages: 55 Posted: 15 Aug 2014 Last Revised: 07 Sep 2021
University of Technology Sydney (UTS), University of Technology Sydney (UTS), University of Technology Sydney (UTS) - School of Finance and Economics and Macquarie University
Downloads 1,421 (26,855)
Citation 7

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price discovery, stock, option, information share, insider trading

6.

Should We Be Afraid of the Dark? Dark Trading and Market Quality

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 16 Jun 2013 Last Revised: 08 Feb 2016
Sean Foley and Tālis J. Putniņš
Macquarie University and University of Technology Sydney (UTS)
Downloads 1,229 (33,216)
Citation 57

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dark pool, dark trading, regulation, liquidity, market efficiency, transparency

7.

Decentralized Exchanges: The 'Wild West' of Cryptocurrency Trading

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 21 Dec 2020 Last Revised: 29 Jul 2021
Angelo Aspris, Sean Foley, Jiri Svec and Leqi Wang
University of Sydney - Discipline of Finance, Macquarie University, The University of Sydney - Discipline of Finance and The University of Sydney, Students
Downloads 869 (54,354)
Citation 23

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Decentralized Exchange, DEX, ICO, ERC-20 Tokens, DeFi, Cryptocurrency

8.

Fundamental Based Market Strategies

Number of pages: 23 Posted: 12 Mar 2013
University of Sydney - Discipline of Finance, Saki Partners, Macquarie University and Greenhill & Co. Australia
Downloads 783 (62,402)

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Fundamental analysis, market efficiency, F-Score, G-Score

9.

Dark Trading on Public Exchanges

Number of pages: 45 Posted: 03 Dec 2012 Last Revised: 23 Feb 2013
Sean Foley, Katya Malinova and Andreas Park
Macquarie University, McMaster University - Michael G. DeGroote School of Business and University of Toronto
Downloads 619 (84,268)
Citation 10

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dark trading, midpoint orders, limit order book trading

10.

When bigger is better: The impact of a tiny tick size on undercutting behavior

Number of pages: 37 Posted: 25 Jun 2018 Last Revised: 26 Jun 2020
Anne Haubo Dyhrberg, Sean Foley and Jiri Svec
Wilfrid Laurier University - Lazaridis School of Business and Economics, Macquarie University and The University of Sydney - Discipline of Finance
Downloads 611 (85,639)
Citation 27

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market microstructure, tick size, trading behavior, bitcoin, cryptocurrency

11.

Contagious Margin Calls: How COVID-19 Threatened Global Stock Market Liquidity

Forthcoming, Journal of Financial Markets
Number of pages: 51 Posted: 09 Jul 2020 Last Revised: 15 Oct 2021
Macquarie University, University of New South Wales (UNSW), University of Sydney Business School and University of Stavanger
Downloads 483 (114,661)
Citation 14

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COVID-19; Margin requirements; Stock market liquidity; Liquidity spiral

12.

Tick Size Wars: The Market Quality Effects of Pricing Grid Competition

Number of pages: 43 Posted: 09 Nov 2016 Last Revised: 03 Dec 2021
Macquarie University, Ohio State University (OSU) - Fisher College of Business and University of Stavanger
Downloads 473 (117,603)
Citation 7

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Equity Trading; Limit Order Markets; Tick Sizes

13.

Who buys Bitcoin? The Cultural Determinants of Bitcoin Usage

Number of pages: 40 Posted: 02 Mar 2021
Macquarie University, Open University of the Netherlands - School of Management, Audencia Business School and Liaoning University
Downloads 467 (119,456)

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Bitcoin, Cryptocurrency, National Culture, Individualism

14.

Sharks in the Dark: Quantifying Latency Arbitrage

FCA Occasional Paper No. 21
Number of pages: 54 Posted: 09 Mar 2017 Last Revised: 27 Sep 2021
Bank for International Settlements, Macquarie University, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 429 (131,938)
Citation 1

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high-frequency trading, dark pools, latency arbitrage, reference prices

15.

2018 Oxford Business Law Blog Round-Up: Top 20 Most Read Posts

Oxford Legal Studies Research Paper Forthcoming
Number of pages: 56 Posted: 28 Aug 2019
Center for Contract and Economic Organization, White & Case LLP, Eberhard-Karls University Tübingen, Macquarie University, Technische Universität München (TUM) - TUM School of Management, Melbourne Law School, University of Virginia School of Law, Singapore Management University - Yong Pung How School of Law, European University Viadrina Frankfurt (Oder) - European New School of Digital Studies, City University of Hong Kong (CityU) – School of Law; Centre for Public Affairs and Law; Centre for Chinese and Comparative Law, National University of Singapore Faculty of Law, Hogan Lovells, Hogan Lovells, The Hadar Jabotinsky Center for Interdisciplinary Research of Financial Markets, Crises and Technology (HJC), Cleary Gottlieb Steen & Hamilton LLP, Public Sector Credit Solutions, The University of Western Australia, BI Norwegian Business School, White & Case LLP, Latham & Watkins, White & Case LLP, TUM School of Management, Tilburg University - Tilburg Institute for Law, Technology, and Society, Latham & Watkins, London School of Economics - Law School, Independent, University of California, Berkeley - School of Law, Cleary Gottlieb Steen & Hamilton LLP, Cleary Gottlieb Steen & Hamilton LLP, University of Technology Sydney (UTS), Melbourne Law School - University of Melbourne, Morrison & Foerster LLP, University of Vienna, Faculty of Law, City University of Hong Kong (CityU) - Centre for Chinese & Comparative Law, University of Melbourne - Law School, London School of Economics & Political Science (LSE), Students and White & Case LLP
Downloads 385 (149,291)

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Bitcoin, Blockchain, GDPR, ICOs, Cryptocurrencies, MiFID II, EU law, Limited partnership, Private equity, Side-pockets, Liquidity, Brexit, Credit rating, Corporate Governance Code, Parent company, Bankruptcy, Securities, Financial regulation, Corporate veil, Autonomation, Courts, Smart contract

16.

Does Insider Trading Explain Price Run-Up Ahead of Takeover Announcements?

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 38 Posted: 01 Dec 2010 Last Revised: 14 Jan 2015
Sean Foley, Alex Frino and Angelo Aspris
Macquarie University, The University of Sydney - Discipline of Finance and affiliation not provided to SSRN
Downloads 336 (173,307)

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Toehold, takeover, short term, long term

What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 14 Posted: 09 Oct 2021 Last Revised: 04 Jan 2022
Macquarie University, The University of Sydney, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 247 (236,723)
Citation 1

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 13 Posted: 05 Oct 2021
Macquarie University, affiliation not provided to SSRN, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 78 (599,483)

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

18.

Market Fairness: The Poor Country Cousin of Market Efficiency

Number of pages: 61 Posted: 23 May 2014 Last Revised: 02 Apr 2015
Macquarie Graduate School of Management, University of Sydney - Discipline of Finance, Macquarie University and Wake Forest University
Downloads 293 (200,327)
Citation 4

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Market integrity, market fairness, manipulation, information leakage, algorithmic trading

19.

The Impact of Fragmentation, Exchange Fees and Liquidity Provision on Market Quality

Number of pages: 36 Posted: 25 Jun 2013 Last Revised: 02 Feb 2016
Macquarie Graduate School of Management, University of New South Wales (UNSW) and Macquarie University
Downloads 202 (287,927)
Citation 14

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Competition, Fragmentation, Alternative Trading System, Trading Fees

20.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
University of Oxford, University of Iowa - Department of Finance, University of Sydney - Discipline of Finance, Macquarie University, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Sydney - Business School - Finance Discipline
Downloads 197 (294,433)

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Asset Price bubbles, Markets

21.

How Should We Ring the Closing Bell? Determining Optimal Closing Auction Design

Number of pages: 52 Posted: 06 Apr 2022 Last Revised: 13 Aug 2023
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Technology Sydney, Macquarie University and University of Technology Sydney (UTS)
Downloads 180 (319,431)
Citation 1

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Closing Auction, Auction Design, Market Quality, Market Integrity

22.

Does Queue-Jumping Drive Equity Market Fragmentation?

Number of pages: 56 Posted: 21 Nov 2019 Last Revised: 06 Jun 2022
Sean Foley, Anqi Liu and Elvis Jarnecic
Macquarie University, The University of Sydney and The University of Sydney
Downloads 178 (322,623)
Citation 2

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Fragmentation, Trade-through prohibition

23.

Quote-Based Manipulation of Illiquid Benchmarks

Number of pages: 15 Posted: 15 Apr 2020
affiliation not provided to SSRN, University of Sydney - Discipline of Finance, Macquarie University and The University of Sydney
Downloads 132 (413,039)
Citation 4

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Benchmarks, closing price manipulation, marking the close

24.

Time Pro-Rata Matching: Evidence of a Change in LIFFE STIR Futures

Journal of Futures Markets, Vol. 35(6), p. 522–541, doi:10.1002/fut.21708, June 2015
Number of pages: 35 Posted: 05 Oct 2016 Last Revised: 07 Oct 2016
University of Sydney - Discipline of Finance, Macquarie University, University of New South Wales (UNSW) and UNSW Australia Business School, School of Banking and Finance
Downloads 124 (433,227)
Citation 4

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Futures, LIFFE, Market Microstructure, Pro-Rata, Price-Time Priority

25.

Can Bitcoin be Trusted? Quantifying the Economic Value of Blockchain Transactions

Number of pages: 28 Posted: 17 Jul 2020 Last Revised: 27 Sep 2021
Wilfrid Laurier University - Lazaridis School of Business and Economics, Macquarie University, The University of Sydney - Discipline of Finance and Fordham University
Downloads 115 (458,679)

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Bitcoin, Blockchain, Distributed Ledger Technology, Wallet Addresses, Adoption

26.

Whats in a Price? Measuring the Value of Exchange Data Fees

2012 Financial Markets & Corporate Governance Conference
Number of pages: 34 Posted: 15 Dec 2011 Last Revised: 28 Aug 2012
Sean Foley
Macquarie University
Downloads 114 (461,643)

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data fees, prices, marketplaces, data access

27.

Benchmarks in the Spotlight: The Impact on Exchange Traded Markets

Number of pages: 39 Posted: 20 Apr 2020
Angelo Aspris, Sean Foley and Peter O'Neill
University of Sydney - Discipline of Finance, Macquarie University and UNSW Australia Business School, School of Banking and Finance
Downloads 81 (578,705)
Citation 3

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Transparency, Fix, benchmarks, precious metals, gold, silver, futures

28.

Should Underwriters Be Trusted? Reducing Agency Costs Through Primary Market Supervision

Number of pages: 71 Posted: 28 Jun 2023
Macquarie University, Royal Melbourne Institute of Technolog (RMIT University) - School of Economics, Finance and Marketing, Macquarie University and Beijing Shenghuadingxin Investment Company. LTD
Downloads 72 (618,276)

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Auction; Bonds; China; Primary Markets; Underwriter Manipulation

29.

Can Market Structure Impact Systemic Risk? Evidence from Trade-Through Prohibition

Number of pages: 44 Posted: 05 Oct 2021
Sean Foley and Julia Reynolds
Macquarie University and U.S. Securities and Exchange Commission
Downloads 52 (724,308)

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Liquidity, Liquidity Commonality, Regulation NMS, Trade-Through Prohibition, Market Quality

30.

Who watches the Auctioneer? Supervising primary bond markets to reduce agency costs

Posted: 19 Apr 2021 Last Revised: 14 Sep 2021
Macquarie University, Royal Melbourne Institute of Technolog (RMIT University) - School of Economics, Finance and Marketing, Macquarie University and Beijing Shenghuadingxin Investment Company. LTD

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Auction; Bonds; China; Primary Markets; Underwriter Manipulation

31.

Underwritten Dividend Reinvestment Plans and Conflicts of Interest

Forthcoming: Journal Of Business Finance and Accounting, Issue 43 9-10
Posted: 11 Oct 2016
Macquarie University, University of Sydney - School of Business - Finance Discipline, Independent and The University of Sydney - Discipline of Finance

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Conflicts of interest, Dividend reinvestment plans, DRIP, Underpricing, Underwriter, Rights issues, SEO