Fabricius Somogyi

D’Amore-McKim School of Business

Assistant Professor

360 Huntington Ave.

Boston, MA 02115

United States

  • D’Amore-McKim School of Business

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 25,561

in Total Papers Downloads

4,313

TOTAL CITATIONS
Rank 29,852

SSRN RANKINGS

Top 29,852

in Total Papers Citations

45

Ideas:
“  International finance, asset pricing, and market microstructure.  ”

  • D’Amore-McKim School of Business

Scholarly Papers (6)

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1.

Asymmetric Information Risk in FX Markets

Journal of Financial Economics, Volume 140, Issue 2, May 2021, Pages 391-411
Number of pages: 138 Posted: 16 Oct 2018 Last Revised: 20 Sep 2023
Angelo Ranaldo and Fabricius Somogyi
University of Basel - Faculty of Business and Economics and D’Amore-McKim School of Business
Downloads 1,860 (19,818)
Citation 35

Abstract:

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Asymmetric information, Currency portfolios, Order flow, OTC, Risk premium

2.

Dollar Dominance in FX Trading

Northeastern U. D’Amore-McKim School of Business Research Paper No. 4067388
Number of pages: 81 Posted: 02 Aug 2021 Last Revised: 08 Apr 2025
Fabricius Somogyi
D’Amore-McKim School of Business
Downloads 835 (63,743)
Citation 6

Abstract:

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Dollar dominance, FX volume, price impact, vehicle currency

3.

Liquidity Risk and Currency Premia

Management Science, April 2024
Number of pages: 92 Posted: 29 Mar 2022 Last Revised: 23 Nov 2024
Paul Söderlind and Fabricius Somogyi
University of St. Gallen and D’Amore-McKim School of Business
Downloads 646 (88,880)
Citation 2

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Currency portfolios, Carry trade returns, FX liquidity risk, Liquidity risk premium

4.

Constrained Liquidity Provision in Currency Markets

University of St.Gallen, School of Finance Research Paper No. 2021/16, Swiss Finance Institute Research Paper No. 22-82
Number of pages: 82 Posted: 05 Nov 2021 Last Revised: 31 Jan 2025
Wenqian Huang, Angelo Ranaldo, Andreas Schrimpf and Fabricius Somogyi
Bank for International Settlements, University of Basel - Faculty of Business and Economics, Bank for International Settlements (BIS) - Monetary and Economic Department and D’Amore-McKim School of Business
Downloads 612 (95,231)
Citation 2

Abstract:

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Currency markets, dealer constraints, market liquidity, FX, liquidity provision.

5.

Monetary Policy Transmission through the Exchange Rate Factor Structure

Number of pages: 65 Posted: 19 Sep 2024 Last Revised: 16 Jan 2025
Fabricius Somogyi, Erik Loualiche, Colin Ward and Alexandre Reggi Pecora
D’Amore-McKim School of Business, University of Minnesota, Finance, Alberta School of Business, University of Alberta and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 195 (334,322)

Abstract:

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exchange rate factor structure, monetary policy, US dollar, currency flows

6.

Treasury Auctions and Long-Term Bond Yields

Number of pages: 50 Posted: 12 Dec 2024 Last Revised: 08 May 2025
Fabricius Somogyi, Jonathan Wallen and Lingdi Xu
D’Amore-McKim School of Business, Harvard Business School and Harvard University - Department of Economics
Downloads 165 (388,278)

Abstract:

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market integration, monetary policy, Treasury auctions, bond yields