Thomas Ruf

University of New South Wales (UNSW)

Senior Lecturer

Kensington

High St

Sydney , NSW 2052

Australia

  • University of New South Wales (UNSW)

SCHOLARLY PAPERS

12

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6,025

TOTAL CITATIONS
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Top 37,615

in Total Papers Citations

33

Scholarly Papers (12)

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1.

Let The Bear Beware: What Drives Stock Recalls

Number of pages: 47 Posted: 30 Aug 2016 Last Revised: 29 Jan 2018
Oleg Chuprinin and Thomas Ruf
UNSW and University of New South Wales (UNSW)
Downloads 1,764 (21,334)
Citation 3

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Short Selling, Recall Risk, Securities Lending

2.

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

Number of pages: 66 Posted: 28 Oct 2016 Last Revised: 20 Nov 2017
Haoming Chen, Sean Foley, Michael A. Goldstein and Thomas Ruf
University of New South Wales (UNSW), Macquarie University, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 1,500 (27,341)
Citation 12

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Market Design, Speed Bump, Quote Fade, Liquidity Provision

3.

The Dynamics of Overpricing in Structured Products

Number of pages: 47 Posted: 19 Mar 2011 Last Revised: 21 Nov 2011
Thomas Ruf
University of New South Wales (UNSW)
Downloads 600 (96,886)
Citation 7

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Structured Products, Default Risk, Retail Investors, Overpricing

4.

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
Matteo Aquilina, Sean Foley, Peter O'Neill and Thomas Ruf
Bank for International Settlements, Macquarie University, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 467 (132,348)
Citation 1

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

5.

Limits to Arbitrage and the Skewness Risk Premium in Options Markets

Number of pages: 57 Posted: 19 Nov 2011 Last Revised: 23 Jan 2012
Thomas Ruf
University of New South Wales (UNSW)
Downloads 391 (162,239)
Citation 3

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Commodity Futures, Option-implied Skewness, Limits to Arbitrage

6.

Limits to Market Making and the Skewness Risk Premium in Options Markets

Number of pages: 64 Posted: 17 Mar 2012 Last Revised: 22 Sep 2012
Thomas Ruf
University of New South Wales (UNSW)
Downloads 324 (199,355)

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commodity futures, option-implied skewness, limits to arbitrage, market making

7.

Political Relations and Media Coverage

Number of pages: 73 Posted: 25 May 2021 Last Revised: 17 Dec 2022
Thomas Ruf, Jun Song and Bohui Zhang
University of New South Wales (UNSW), Korea University and The Chinese University of Hong Kong, Shenzhen
Downloads 281 (231,945)
Citation 2

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Political Relations; Media Coverage; Media Slant; ADRs; Sentiment; Stock Returns

8.

Sharks in the Dark: Quantifying Hft Dark Pool Latency Arbitrage

Number of pages: 50 Posted: 08 Jul 2022
Sean Foley, Peter O'Neill, Matteo Aquilina and Thomas Ruf
Macquarie University, UNSW Australia Business School, School of Banking and Finance, Bank for International Settlements and University of New South Wales (UNSW)
Downloads 240 (271,858)
Citation 1

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

9.

Inferring Mutual Fund Quality At Inception

Number of pages: 38 Posted: 30 Aug 2016 Last Revised: 27 Nov 2017
Oleg Chuprinin and Thomas Ruf
UNSW and University of New South Wales (UNSW)
Downloads 132 (462,282)
Citation 1

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Mutual fund inception, Performance predictability, Window-dressing, agency problems

10.

The Law of One Price in Unfamiliar Places: The Case of International Real Estate

Number of pages: 36 Posted: 13 Nov 2011
Thomas Ruf and Maurice D. Levi
University of New South Wales (UNSW) and University of British Columbia (UBC) - Sauder School of Business
Downloads 118 (504,456)
Citation 3

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exchange rates, international real estate, law of one price, one-way arbitrage

11.

Rent Seeking and Mutual Fund Inceptions

Number of pages: 40 Posted: 04 Jun 2018
Oleg Chuprinin and Thomas Ruf
UNSW and University of New South Wales (UNSW)
Downloads 116 (511,014)

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mutual funds, rent seeking, performance predictability

12.

Arbitrage in Unfamiliar Places: The International Residential Real Estate Market

Number of pages: 36 Posted: 15 Mar 2012 Last Revised: 14 Oct 2012
Maurice D. Levi and Thomas Ruf
University of British Columbia (UBC) - Sauder School of Business and University of New South Wales (UNSW)
Downloads 92 (601,710)

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exchange rates, international real estate, law-of-one-price, one-way arbitrage