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

10

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2,344

CITATIONS
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19

Scholarly Papers (10)

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1.

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), University of Sydney Business School, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 901 (25,065)
Citation 7

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Market Design, Speed Bump, Quote Fade, Liquidity Provision

2.

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 426 (67,110)
Citation 6

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Structured Products, Default Risk, Retail Investors, Overpricing

3.

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 285 (105,998)
Citation 3

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Commodity Futures, Option-implied Skewness, Limits to Arbitrage

4.

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 241 (126,215)

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

5.

Asymmetries in Dark Pool Reference Prices

FCA Occasional Paper No. 21
Number of pages: 63 Posted: 09 Mar 2017 Last Revised: 05 Apr 2017
Matteo Aquilina, Sean Foley, Peter O'Neill and Thomas Ruf
Financial Conduct Authority, University of Sydney Business School, Financial Conduct Authority and University of New South Wales (UNSW)
Downloads 176 (169,699)

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market data, transparency, high-frequency trading, Market microstructure, latency arbitrage

6.

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
University of New South Wales (UNSW) and University of New South Wales (UNSW)
Downloads 114 (240,757)
Citation 3

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Short Selling, Recall Risk, Securities Lending

7.

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 67 (335,575)
Citation 3

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

8.

Inferring Mutual Fund Quality At Inception

Number of pages: 38 Posted: 30 Aug 2016 Last Revised: 27 Nov 2017
Oleg Chuprinin and Thomas Ruf
University of New South Wales (UNSW) and University of New South Wales (UNSW)
Downloads 61 (352,064)

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

9.

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 46 (400,222)

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

10.

Rent Seeking and Mutual Fund Inceptions

Number of pages: 40 Posted: 04 Jun 2018
Oleg Chuprinin and Thomas Ruf
University of New South Wales (UNSW) and University of New South Wales (UNSW)
Downloads 27 (480,137)

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mutual funds, rent seeking, performance predictability