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

11

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SSRN CITATIONS
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Top 32,444

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6

CROSSREF CITATIONS

20

Scholarly Papers (11)

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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), Macquarie University, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 1,259 (19,685)
Citation 12

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Market Design, Speed Bump, Quote Fade, Liquidity Provision

2.

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 637 (51,525)
Citation 3

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Short Selling, Recall Risk, Securities Lending

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 460 (77,108)
Citation 7

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Structured Products, Default Risk, Retail Investors, Overpricing

4.

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 310 (120,735)
Citation 3

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Commodity Futures, Option-implied Skewness, Limits to Arbitrage

5.

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 251 (150,210)

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

6.

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
Bank for International Settlements (BIS) - Financial Stability Board (FSB), Macquarie University, Financial Conduct Authority and University of New South Wales (UNSW)
Downloads 228 (164,847)
Citation 1

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

7.

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 73 (389,353)

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

8.

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 72 (392,349)
Citation 3

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

9.

Political Relations and Media Coverage

Number of pages: 73 Posted: 25 May 2021
Thomas Ruf, Jun Song and Bohui Zhang
University of New South Wales (UNSW), Korea University and The Chinese University of Hong Kong, Shenzhen
Downloads 52 (460,704)

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

10.

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 48 (476,682)

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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 44 (493,868)

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mutual funds, rent seeking, performance predictability