Falmer, Brighton BN1 9SL
United Kingdom
University of Sussex
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Swiss franc, algorithmic trading, liquidity, volatility, price discovery, arbitrage opportunities
Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model
Corporate Bond Index, Regime Switching Threshold Model, Model Selection
Algorithmic trading, Swiss franc, market liquidity, price efficiency, central bank intervention.