Fabricius Somogyi

University of St. Gallen

Research Associate

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

  • University of St. Gallen

SCHOLARLY PAPERS

4

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

  • University of St. Gallen

Scholarly Papers (4)

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1.

Asymmetric Information Risk in FX Markets

Journal of Financial Economics (JFE), Volume 140, Issue 2, May 2021, Pages 391-411
Number of pages: 138 Posted: 16 Oct 2018 Last Revised: 17 Jun 2021
Angelo Ranaldo and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 1,283 (22,145)
Citation 3

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

2.

Dollar Dominance in FX Trading

University of St.Gallen, School of Finance Research Paper No. 2021/15
Number of pages: 66 Posted: 02 Aug 2021 Last Revised: 02 Feb 2022
Fabricius Somogyi
University of St. Gallen
Downloads 187 (222,367)

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Dollar dominance, foreign exchange, price impact, strategic complementarity, trading volume

3.

FX Liquidity Risk and Carry Trade Premia

University of St.Gallen, School of Finance Research Paper No. 2022/02
Number of pages: 54 Posted: 29 Mar 2022 Last Revised: 14 May 2022
Paul Söderlind and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 150 (267,628)

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

4.

Constrained Dealers and Market Efficiency

University of St.Gallen, School of Finance Research Paper No. 2021/16
Number of pages: 58 Posted: 05 Nov 2021 Last Revised: 06 Apr 2022
Wenqian Huang, Angelo Ranaldo, Andreas Schrimpf, Andreas Schrimpf and Fabricius Somogyi
Bank for International Settlements, University of St. Gallen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of St. Gallen
Downloads 131 (300,871)

Abstract:

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Market Efficiency, Dealer Constraints, Foreign Exchange, Liquidity Provision.