Richard Payne

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - Sir John Cass Business School

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 6,229

in Total Papers Citations

79

CROSSREF CITATIONS

137

Scholarly Papers (20)

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1.

Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees?

Number of pages: 55 Posted: 17 Nov 2014
Andrew Clare, Nick Motson, Richard Payne and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 955 (30,105)
Citation 2

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2.

What Do Stock Markets Tell Us About Exchange Rates?

Downloads 795 ( 38,791)
Citation 13

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - Sir John Cass Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 696 (45,840)
Citation 1

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Empirical Asset Pricing, Exchange Rates, Uncovered Equity Parity, International Asset Allocation

What Do Stock Markets Tell Us About Exchange Rates?

Bank of England Working Paper No. 537
Number of pages: 55 Posted: 25 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - Sir John Cass Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 98 (333,326)
Citation 8

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Empirical asset pricing, exchange rates, international asset allocation.

What Do Stock Markets Tell Us About Exchange Rates?

CEPR Discussion Paper No. DP10685
Number of pages: 76 Posted: 08 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - Sir John Cass Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 1 (824,527)
Citation 3
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

3.

Ultra-Fast Activity and Intraday Market Quality

Journal of Banking & Finance 99 (2019): 157-181.
Number of pages: 61 Posted: 11 Jun 2015 Last Revised: 21 Jul 2021
Álvaro Cartea, Richard Payne, José Penalva and Mikel Tapia
University of Oxford, City University London - Sir John Cass Business School, Universidad Carlos III, Madrid - Business Economics Department and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 638 (52,101)
Citation 4

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High Frequency Trading, HFT, Algorithmic Trading, Market Quality, Low Latency

4.

Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2

Number of pages: 37 Posted: 11 Jul 2001
Jon Danielsson and Richard Payne
London School of Economics - Systemic Risk Centre and City University London - Sir John Cass Business School
Downloads 526 (66,468)
Citation 14

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5.

Banning Short Sales and Market Quality: The U.K.'s Experience

Number of pages: 36 Posted: 20 Jul 2010
Ian W. Marsh and Richard Payne
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 481 (74,273)
Citation 9

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Short Selling, Regulation, Microstructure

6.

Macroeconomic News, Order Flows and Exchange Rates

Number of pages: 47 Posted: 22 Jun 2007
Ryan Love and Richard Payne
London School of Economics & Political Science (LSE) and City University London - Sir John Cass Business School
Downloads 459 (78,609)
Citation 14

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Exchange rates, market microstructure, order flow

7.

The Skewness of the Stock Market at Long Horizons

Number of pages: 65 Posted: 18 May 2018 Last Revised: 22 Jul 2019
Anthony Neuberger and Richard Payne
City University London - Faculty of Finance and City University London - Sir John Cass Business School
Downloads 433 (84,203)
Citation 7

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8.

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Downloads 393 ( 94,174)
Citation 4

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

WBS Finance Group Research Paper No. 218
Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 26 Dec 2019
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 271 (140,594)
Citation 2

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Market order flow, limit order flow, price discovery

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Number of pages: 51 Posted: 27 Nov 2015 Last Revised: 01 Apr 2018
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 122 (286,020)
Citation 3

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Market order flow, limit order flow, price discovery

9.

Fast Aggressive Trading

Number of pages: 43 Posted: 24 Dec 2014
Torben Latza, Ian W. Marsh and Richard Payne
BlackRock, Inc - San Francisco, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 365 (102,541)
Citation 5

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Computer-based trading, manipulation, execution costs, private information

10.

Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange

Number of pages: 36 Posted: 20 Dec 2002
Sylvain Friederich and Richard Payne
London School of Economics & Political Science (LSE) - Financial Markets Group and City University London - Sir John Cass Business School
Downloads 327 (115,860)
Citation 7

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limit order trading, auction and dealership markets, commonality, London Stock Exchange

11.

Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act

Bank of England Working Paper No. 580
Number of pages: 49 Posted: 15 Jan 2016 Last Revised: 17 Jul 2017
Evangelos Benos, Richard Payne and Michalis Vasios
Bank of England, City University London - Sir John Cass Business School and European Securities and Markets Authority
Downloads 271 (141,261)
Citation 28

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Swap Execution Facilities, transparency, market liquidity

12.

Order-to-Trade Ratios and Market Liquidity

Forthcoming, Journal of Banking and Finance
Number of pages: 34 Posted: 16 Jul 2013 Last Revised: 16 Oct 2014
Sylvain J. Friederich and Richard Payne
University of Bristol and City University London - Sir John Cass Business School
Downloads 250 (153,159)
Citation 10

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Order-to-trade ratios, High-Frequency Trading, Computerized trading, Italian Stock Exchange, Limit order trading

13.

Profiting from Mimicking Strategies in Non-Anonymous Markets

Number of pages: 44 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Ingmar Nolte, Richard Payne and Michalis Vasios
Lancaster University - Department of Accounting and Finance, City University London - Sir John Cass Business School and European Securities and Markets Authority
Downloads 225 (169,563)

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Market Transparency, Asset Allocation, Broker Heterogeneity, Customer Order Flow

14.

Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity

Number of pages: 46 Posted: 10 Apr 2019 Last Revised: 13 Feb 2021
Hans Degryse, Rudy De Winne, Carole Gresse and Richard Payne
KU Leuven, Department Accounting, Finance and Insurance, UCLouvain - Louvain Finance, Université Paris Dauphine-PSL and City University London - Sir John Cass Business School
Downloads 190 (198,299)
Citation 1

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high frequency trading (HFT), algorithmic trading (AT), fragmentation, ghost liquidity

15.

On the Sources of Private Information in FX Markets

Journal of Banking and Finance, Vol. 35, 2011, WBS Finance Group Research Paper No. 163
Number of pages: 49 Posted: 10 Jun 2011
Michael Moore and Richard Payne
University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 183 (205,012)
Citation 3

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16.

Trading Anonymity and Order Anticipation

Number of pages: 60 Posted: 18 Jul 2014
Sylvain J. Friederich and Richard Payne
University of Bristol and City University London - Sir John Cass Business School
Downloads 112 (302,461)
Citation 1

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Trading anonymity, Limit order trading, Trading costs, Institutional investors, London Stock Exchange

17.

One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System

NBER Working Paper No. t0179
Number of pages: 133 Posted: 20 Sep 2000 Last Revised: 30 Jun 2021
Charles Goodhart, Takatoshi Ito and Richard Payne
London School of Economics & Political Science (LSE) - Financial Markets Group, University of Tokyo - Faculty of Economics and City University London - Sir John Cass Business School
Downloads 67 (413,840)
Citation 3

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18.

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Number of pages: 45 Posted: 18 Dec 2001
Richard Payne and Paolo Vitale
City University London - Sir John Cass Business School and G. d'Annunzio University - Dipartimento di Economia
Downloads 25 (602,971)
Citation 7
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Sterilized intervention, foreign exchange market, market microstructure

19.

Analysis of Spreads in the Dollar/Euro and Deutsche Mark/Dollar Foreign Exchange Markets

Economic Policy, Vol. 17, No. 35, 2002
Posted: 14 Jun 2007
Charles Goodhart, Ryan Love, Richard Payne and Dagfinn Rime
London School of Economics & Political Science (LSE) - Financial Markets Group, London School of Economics & Political Science (LSE), City University London - Sir John Cass Business School and BI Norwegian Business School

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20.

The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behavior

Journal of Financial and Quantitative Analysis, September 1998
Posted: 15 Sep 1998
Richard Payne, Alvaro Almeida and Charles Goodhart
City University London - Sir John Cass Business School, London School of Economics & Political Science (LSE) - Financial Markets Group and London School of Economics & Political Science (LSE) - Financial Markets Group

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