Thomas Ruf

University of New South Wales (UNSW)

Senior Lecturer

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 17,378

SSRN RANKINGS

Top 17,378

in Total Papers Downloads

5,434

SSRN CITATIONS
Rank 35,945

SSRN RANKINGS

Top 35,945

in Total Papers Citations

8

CROSSREF CITATIONS

20

Scholarly Papers (12)

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 1,508 (23,770)
Citation 3

Abstract:

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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
University of New South Wales (UNSW), Macquarie University, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 1,437 (25,517)
Citation 12

Abstract:

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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 551 (94,495)
Citation 7

Abstract:

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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
Bank for International Settlements, Macquarie University, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 415 (133,067)
Citation 1

Abstract:

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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 371 (150,593)
Citation 3

Abstract:

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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 302 (187,775)

Abstract:

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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 237 (239,761)
Citation 1

Abstract:

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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
Macquarie University, UNSW Australia Business School, School of Banking and Finance, Bank for International Settlements and University of New South Wales (UNSW)
Downloads 217 (260,633)

Abstract:

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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 115 (442,883)

Abstract:

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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 102 (483,097)
Citation 3

Abstract:

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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 95 (506,461)

Abstract:

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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 84 (546,782)

Abstract:

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