Richard Payne

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 7,916

in Total Papers Downloads

6,176

SSRN CITATIONS
Rank 5,764

SSRN RANKINGS

Top 5,764

in Total Papers Citations

66

CROSSREF CITATIONS

139

Scholarly Papers (21)

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.
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
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
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)
Citation 7

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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, 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
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

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

Abstract:

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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
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
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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