Ingrid Lo

Bank of Canada

Senior Economist

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

659

SSRN CITATIONS
Rank 31,533

SSRN RANKINGS

Top 31,533

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (5)

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1.

Order Submission: The Choice between Limit and Market Orders

EFMA 2004 Basel Meetings Paper; 14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 45 Posted: 08 May 2004
Ingrid Lo and Stephen G. Sapp
Bank of Canada and University of Western Ontario - Richard Ivey School of Business
Downloads 362 (85,243)
Citation 4

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2.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo and Adrien Verdelhan
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 92 (290,846)
Citation 16

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Information Shocks, Jumps, Price Discovery

3.

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

HKIMR Working Paper No.19/2018
Number of pages: 48 Posted: 27 Aug 2018
George J. Jiang, Ingrid Lo and Giorgio Valente
Washington State University, Bank of Canada and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 88 (299,139)
Citation 3

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High-frequency Trading; Macroeconomic News Announcements; U.S. Treasury Market; Market Liquidity; Price Efficiency

4.

Private Information Flow and Price Discovery in the U.S. Treasury Market

Number of pages: 43 Posted: 01 Sep 2012 Last Revised: 29 Dec 2016
George J. Jiang and Ingrid Lo
Washington State University and Bank of Canada
Downloads 60 (370,657)
Citation 1

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Private information flow; Public information shocks; Price discovery; Order flow impact; Bond return volatility; Depth of limit order book

5.

Computer-Based Trading, Institutional Investors and Treasury Bond Returns

Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 29 Aug 2018
Xiaoquan Liu, Ingrid Lo, Minh Nguyen and Giorgio Valente
Nottingham University Business School, Bank of Canada, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 57 (380,040)

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Computer-based Trading, Asset Pricing, Institutional Investors, Asset Allocation