Richard Payne

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

20

DOWNLOADS
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5,657

CITATIONS
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Top 3,592

in Total Papers Citations

151

Scholarly Papers (20)

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 882 (25,300)

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What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Fulcrum Asset Management, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 617 (40,610)

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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
Fulcrum Asset Management, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 79 (303,406)

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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
Fulcrum Asset Management, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 1 (664,576)
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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
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 557 (47,096)

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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 494 (54,824)
Citation 11

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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 446 (62,267)
Citation 5

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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 423 (66,375)
Citation 29

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Exchange rates, market microstructure, order flow

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

Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 02 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 238 (125,002)

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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 93 (273,907)

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Market order flow, limit order flow, price discovery

8.

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 (90,856)
Citation 7

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

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 315 (93,380)

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

10.

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 Bank of England
Downloads 231 (129,295)

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Swap Execution Facilities, transparency, market liquidity

11.

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 227 (131,517)

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

12.

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 Bank of England
Downloads 218 (136,764)

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

13.

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 166 (175,482)
Citation 2

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14.

The Skewness of the Stock Market at Long Horizons

Number of pages: 51 Posted: 18 May 2018
Anthony Neuberger and Richard Payne
City University London - Faculty of Finance and City University London - Sir John Cass Business School
Downloads 138 (205,621)

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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 99 (261,051)

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

16.

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 61 (345,877)
Citation 50

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17.

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 (481,823)
Citation 40
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Sterilized intervention, foreign exchange market, market microstructure

18.

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 (487,279)
Citation 7
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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
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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