Ingrid Lo

Bank of Canada

Senior Economist

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

610

CITATIONS
Rank 12,784

SSRN RANKINGS

Top 12,784

in Total Papers Citations

41

Scholarly Papers (5)

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 355 (82,547)
Citation 6

Abstract:

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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
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 88 (284,354)
Citation 35

Abstract:

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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
Washington State University, Bank of Canada and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 61 (349,454)
Citation 2

Abstract:

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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 57 (361,269)
Citation 2

Abstract:

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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
Nottingham University Business School, Bank of Canada, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 49 (386,823)

Abstract:

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