Thomas Ruf

University of New South Wales (UNSW)

Senior Lecturer

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 20,272

SSRN RANKINGS

Top 20,272

in Total Papers Downloads

2,287

CITATIONS
Rank 28,753

SSRN RANKINGS

Top 28,753

in Total Papers Citations

8

Scholarly Papers (10)

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
University of New South Wales (UNSW), University of Sydney Business School, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 864 (26,035)

Abstract:

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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 420 (66,956)
Citation 3

Abstract:

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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 (104,024)
Citation 2

Abstract:

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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 238 (125,512)
Citation 3

Abstract:

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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
Financial Conduct Authority, University of Sydney Business School, Financial Conduct Authority and University of New South Wales (UNSW)
Downloads 175 (168,358)

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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 111 (241,204)

Abstract:

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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 (329,776)

Abstract:

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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 60 (348,812)

Abstract:

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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 (393,138)

Abstract:

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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 21 (504,123)

Abstract:

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mutual funds, rent seeking, performance predictability