Darya Yuferova

Norwegian School of Economics (NHH) - Department of Finance

Helleveien 30

N-5045 Bergen

Norway

  • Norwegian School of Economics (NHH) - Department of Finance

SCHOLARLY PAPERS

7

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5

Scholarly Papers (7)

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1.

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 147 Posted: 04 Aug 2014 Last Revised: 01 Dec 2018
Dion Bongaerts, Richard Roll, Dominik Rösch, Mathijs A. Van Dijk and Darya Yuferova
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 339 (95,095)
Citation 5

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Equity markets, jumps, financial crises, contagion, liquidity, trading activity

2.

Wait or Trade?

Number of pages: 50 Posted: 07 Nov 2015 Last Revised: 05 Jun 2019
Darya Yuferova
Norwegian School of Economics (NHH) - Department of Finance
Downloads 303 (107,637)

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Price Discovery, Limit Order Book, Liquidity Provision, High-Frequency Trading.

3.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

SAFE Working Paper No. 144
Number of pages: 90 Posted: 21 Sep 2016 Last Revised: 07 Jun 2017
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 279 (117,493)
Citation 1

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High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

4.

Liquidity Provision: Normal Times vs Crashes

Downloads 249 (132,300)

Liquidity Provision: Normal Times vs Crashes

Number of pages: 72 Posted: 04 Dec 2017 Last Revised: 06 Apr 2019
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 129 (237,513)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Recovery from Fast Crashes: Role of Mutual Funds

SAFE Working Paper No. 227
Number of pages: 66 Posted: 27 Aug 2018 Last Revised: 17 Apr 2020
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 78 (334,934)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Liquidity Provision: Normal Times vs Crashes

Number of pages: 72 Posted: 10 Nov 2019
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 37 (477,195)

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Liquidity Provision, Market Fragility, Flash Crash, Slow-Moving Capital.

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098
Number of pages: 62 Posted: 16 Dec 2017
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance
Downloads 5 (686,916)

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5.

Designated Market Makers: Competition and Incentives

SAFE Working Paper No. 247, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, NYU Stern School of Business
Number of pages: 108 Posted: 18 Apr 2019 Last Revised: 31 Mar 2020
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 153 (206,504)

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Designated Market Makers (DMMs), Liquidity Provision

6.

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 140 (221,969)
Citation 2

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High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

7.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

Number of pages: 89
Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
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High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision