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

5

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Scholarly Papers (5)

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1.

On the Origination and Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 134 Posted: 04 Aug 2014 Last Revised: 31 May 2017
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 298 (94,127)

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

2.

Intraday Return Predictability, Informed Limit Orders, and Algorithmic Trading

Number of pages: 42 Posted: 07 Nov 2015 Last Revised: 30 Jul 2018
Darya Yuferova
Norwegian School of Economics (NHH) - Department of Finance
Downloads 255 (111,094)

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intraday predictability, informed trading, algotihmic trading, limit order book

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 Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 225 (126,086)

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

4.

Stock Price Crashes: Role of Slow-Moving Capital

Downloads 117 (224,098)

Stock Price Crashes: Role of Slow-Moving Capital

Number of pages: 61 Posted: 04 Dec 2017 Last Revised: 23 Jul 2018
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 95 (259,498)

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

Stock Price Crashes: Role of Slow-Moving Capital

SAFE Working Paper No. 227
Number of pages: 64 Posted: 27 Aug 2018
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 20 (511,061)

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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
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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 Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 88 (268,552)

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