Annie Koh

Singapore Management University

Professor of Finance (Practice), Lee Kong Chian School of Business

Administration Building

81 Victoria Street

Singapore, 188065

Singapore

Singapore Management University - Business Development and External Relations

Vice President

81 Victoria Street

Admin Bldg, Level 5

Singapore, 188065

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

762

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

Would Position Limits Have Made any Difference to the 'Flash Crash' on May 6, 2010

Number of pages: 39 Posted: 03 Nov 2010 Last Revised: 13 Nov 2013
Bernard Lee, Shih-Fen Cheng and Annie Koh
HedgeSPA (Hedge Funds and Sophisticated Products Advisors), Singapore Management University - School of Information Systems and Singapore Management University
Downloads 411 (73,567)
Citation 3

Abstract:

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6 May 2010, Flash Crash, Liquidity Withdrawal, Extreme Market Movements, Agent-based Simulation, Speculative Activities, Position Limits

2.

An Analysis of Extreme Price Shocks and Illiquidity Among Systematic Trend Followers

Number of pages: 30 Posted: 03 Feb 2010 Last Revised: 13 Nov 2013
Bernard Lee, Shih-Fen Cheng and Annie Koh
HedgeSPA (Hedge Funds and Sophisticated Products Advisors), Singapore Management University - School of Information Systems and Singapore Management University
Downloads 321 (97,516)
Citation 6

Abstract:

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Extreme Price Shocks, Market Liquidity, Systematic Trend Followers, Speculative Activities, Agent-Based Computational Economics, Commodity Trading Advisors, Financial Crisis

3.

Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence

NBER Working Paper No. w3055
Number of pages: 52 Posted: 14 Apr 2007
Annie Koh and Richard M. Levich
Singapore Management University and New York University (NYU) - Department of Finance
Downloads 30 (485,402)

Abstract:

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