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

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Scholarly Papers (6)

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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 331 (93,471)
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 293 (106,815)
Citation 1

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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 266 (118,366)
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 234 (134,902)

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 124 (235,510)

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

Liquidity Provision: Normal Times vs Crashes

SAFE Working Paper No. 227
Number of pages: 74 Posted: 27 Aug 2018 Last Revised: 07 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 73 (335,212)

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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 33 (479,107)

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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 4 (670,372)

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5.

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 134 (221,010)
Citation 3

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

6.

Paying for Market Liquidity: Competition and Incentives

SAFE Working Paper No. 247, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 18 Apr 2019 Last Revised: 01 Oct 2019
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 121 (238,820)

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Designated Market Makers (DMMs), Liquidity Provision