Purnendu Nath

London Business School

Dr

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

http://phd.london.edu/pnath

SCHOLARLY PAPERS

8

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Top 5,466

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7,948

SSRN CITATIONS
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SSRN RANKINGS

Top 8,996

in Total Papers Citations

15

CROSSREF CITATIONS

98

Scholarly Papers (8)

1.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 6,409 (1,006)
Citation 22

Abstract:

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Arbitrage, Bonds, Extreme Risk, Hedge Funds, Liquidity, Pairs Trading, Spread Trading, Statistical Arbitrage, U.S. Treasury Securities

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 41 Posted: 07 Mar 2002
David Goldreich, Bernd Hanke and Purnendu Nath
University of Toronto - Rotman School of Management, London Business School - Institute of Finance and Accounting and London Business School
Downloads 565 (48,527)
Citation 5

Abstract:

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Liquidity, Asset Pricing

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

CEPR Discussion Paper No. 3900
Number of pages: 43 Posted: 17 Jul 2003
David Goldreich, Bernd Hanke and Purnendu Nath
University of Toronto - Rotman School of Management, London Business School - Institute of Finance and Accounting and London Business School
Downloads 31 (489,402)
Citation 7
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Liquidity, asset pricing

3.

Do Price Limits Behave Like Magnets?

Number of pages: 18 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 305 (102,257)
Citation 5

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Price Limits, Magnet Hypothesis, Price Dynamics

4.

Are Price Limits Always Bad?

Journal of Emerging Market Finance, Vol. 4, No. 3, pp. 281-313, 2005
Number of pages: 54 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 242 (130,483)

Abstract:

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Price Limits, Overreaction Hypothesis, Price Discovery, Strategic Trading

5.

Interdealer Trading in the UK Government Bond Market

Number of pages: 44 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 189 (165,018)
Citation 4

Abstract:

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Interdealer Trading, Risk Management, Bonds

6.

The PTG Pacing Model

Number of pages: 13 Posted: 14 Aug 2018
Purnendu Nath
London Business School
Downloads 186 (167,430)

Abstract:

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pacing, pacing strategies, endurance sports, running, racing, elevation profile

7.

Pollution and Weather Trade-offs for Endurance Events

Number of pages: 23 Posted: 21 Oct 2018
Purnendu Nath
London Business School
Downloads 21 (531,964)

Abstract:

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pollution, weather, optimization, satisficing, health risk, COPD, endurance sports, running, racing, marathon, triathlon, sports participation, public health, developing economies, data science, signal processing, big data

8.

Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model: Further Results for the UK Gilt-Edged Market

Applied Economics Letters, Vol. 8, No. 2, 2001
Posted: 24 Aug 2018
Purnendu Nath and K. Ben Nowman
London Business School and City University London

Abstract:

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Cox-Ingersoll-Ross, term structure, interest rates, Kalman filter, UK, gilt market, multi-factor, term structure