Purnendu Nath

London Business School

Dr

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

http://phd.london.edu/pnath

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 5,620

SSRN RANKINGS

Top 5,620

in Total Papers Downloads

8,080

SSRN CITATIONS
Rank 9,152

SSRN RANKINGS

Top 9,152

in Total Papers Citations

21

CROSSREF CITATIONS

98

Ideas:
“  I'm currently working on quantitative trading strategies and technologies, quantitative analysis for individual and public healthcare, tools and methodologies for the polymath and polyglot, healthspan extension strategies and protocols.  ”

Scholarly Papers (9)

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 6,449 (1,055)
Citation 23

Abstract:

Loading...

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 570 (50,035)
Citation 8

Abstract:

Loading...

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 (505,684)
Citation 7
  • Add to Cart

Abstract:

Loading...

Liquidity, asset pricing

3.

Do Price Limits Behave Like Magnets?

Number of pages: 18 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 306 (106,096)
Citation 5

Abstract:

Loading...

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 243 (135,027)

Abstract:

Loading...

Price Limits, Overreaction Hypothesis, Price Discovery, Strategic Trading

5.

The PTG Pacing Model

Number of pages: 13 Posted: 14 Aug 2018
Purnendu Nath
London Business School
Downloads 200 (162,694)

Abstract:

Loading...

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

6.

Interdealer Trading in the UK Government Bond Market

Number of pages: 44 Posted: 19 Jul 2004
Purnendu Nath
London Business School
Downloads 189 (171,299)
Citation 4

Abstract:

Loading...

Interdealer Trading, Risk Management, Bonds

7.

Mid-Epidemic Case Fatality Rate - The Case of COVID-19: Reducing the Impact of Wrong Risk Perception

Number of pages: 10 Posted: 05 May 2020
Purnendu Nath and Sukhpreet Patel
London Business School and Nowrosjee Wadia Maternity Hospital
Downloads 71 (348,493)

Abstract:

Loading...

Mid-Epidemic Case Fatality Rate, COVID-19

8.

Pollution and Weather Trade-offs for Endurance Events

Number of pages: 23 Posted: 21 Oct 2018
Purnendu Nath
London Business School
Downloads 21 (549,827)

Abstract:

Loading...

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

9.

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:

Loading...

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