Purnendu Nath

London Business School

Dr

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

http://phd.london.edu/pnath

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 4,610

in Total Papers Downloads

7,154

CITATIONS
Rank 9,029

SSRN RANKINGS

Top 9,029

in Total Papers Citations

49

Scholarly Papers (5)

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 5,347 (815)
Citation 8

Abstract:

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 543 (38,836)
Citation 36

Abstract:

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 (391,803)
Citation 36
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Abstract:

Liquidity, asset pricing

3.

Do Price Limits Behave Like Magnets?

Number of pages: 18 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 280 (82,900)
Citation 1

Abstract:

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 233 (104,618)
Citation 2

Abstract:

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 172 (135,968)
Citation 1

Abstract:

Interdealer Trading, Risk Management, Bonds