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

21

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66

CROSSREF CITATIONS

139

Scholarly Papers (21)

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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 930 (26,423)
Citation 1

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2.

What Do Stock Markets Tell Us About Exchange Rates?

Downloads 736 ( 36,665)
Citation 14

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 651 (42,641)
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 84 (323,234)
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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 (736,422)
Citation 4
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

3.

Ultra-Fast Activity and Intraday Market Quality

Journal of Banking and Finance, Forthcoming
Number of pages: 61 Posted: 11 Jun 2015 Last Revised: 11 Dec 2018
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 614 (46,712)
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

EFA 2001 Barcelona Meetings
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 511 (59,032)
Citation 13

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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 455 (68,176)
Citation 6

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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 442 (70,610)
Citation 13

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Exchange rates, market microstructure, order flow

7.

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

Downloads 363 ( 88,982)
Citation 5

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 255 (129,928)
Citation 3

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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 108 (273,754)
Citation 3

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Market order flow, limit order flow, price discovery

8.

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 343 (94,933)
Citation 5

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

9.

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 323 (101,466)
Citation 7

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

10.

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 258 (129,512)
Citation 3

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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 Norges Bank Investment Management (NBIM)
Downloads 257 (129,512)
Citation 25

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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 233 (142,720)
Citation 7

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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 Norges Bank Investment Management (NBIM)
Downloads 220 (150,902)

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

14.

On the Sources of Private Information in FX Markets

Journal of Banking and Finance, Vol. 35, 2011
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 172 (188,876)
Citation 2

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15.

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 106 (275,763)
Citation 1

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

16.

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

Number of pages: 40 Posted: 10 Apr 2019 Last Revised: 14 Aug 2019
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 99 (288,828)

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

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 2010
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 65 (370,055)
Citation 6

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18.

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

CEPR Discussion Paper No. 3085
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 (532,329)
Citation 6
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Sterilized intervention, foreign exchange market, market microstructure

19.

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

Economic Journal, Vol. 117, No. 522, pp. 1168-1191, July 2007
Number of pages: 24 Posted: 08 Jul 2007
Sylvain J. Friederich and Richard Payne
University of Bristol and City University London - Sir John Cass Business School
Downloads 24 (538,422)
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20.

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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21.

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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