Wing Wah Tham

University of New South Wales (UNSW)

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

9

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4,117

SSRN CITATIONS
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Top 16,178

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Scholarly Papers (9)

1.
Downloads 1,443 ( 12,354)
Citation 2

Execution Risk in High-Frequency Arbitrage

Number of pages: 38 Posted: 29 Mar 2012
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 734 (33,007)
Citation 2

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execution risk, limit to arbitrage, liquidity, high-frequency trading strategies

How Riskless is 'Riskless' Arbitrage?

Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 16 Mar 2014
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 709 (34,595)

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execution risk, limit to arbitrage, liquidity, inventory costs

2.
Downloads 1,021 ( 20,968)
Citation 21

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 28 Sep 2016
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 1,020 (20,630)
Citation 11

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Arbitrage, Liquidity, Adverse Selection, High Frequency Trading

Toxic Arbitrage

CEPR Discussion Paper No. DP9925
Number of pages: 64 Posted: 02 Jun 2014
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 1 (685,321)
Citation 1
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

3.

Flashes of Trading Intent at the NASDAQ

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Norges Bank Working Paper 17, AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 22 Mar 2011 Last Revised: 19 Jul 2016
Central Bank of Norway, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 495 (56,133)
Citation 2

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Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading.

4.

The Impact of Foreign Government Investments on Corporate Performance: Evidence from the U.S.

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 26 Jan 2010 Last Revised: 01 Aug 2011
Elvira Sojli and Wing Wah Tham
UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 400 (72,827)
Citation 2

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Foreign Government Investments; Foreign Political Connections; Government-related Contracts; Internationalization; Large Shareholders

5.

Economic Valuation of Liquidity Timing

Journal of Banking and Finance, 37, p5073-5087
Number of pages: 46 Posted: 28 Feb 2013 Last Revised: 05 Aug 2014
Erasmus University Rotterdam, UNSW Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 300 (100,853)

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liquidity, forecasting, expected returns, economic valuation

6.

Time Deformation and Term Structure of Interest Rates

Number of pages: 34 Posted: 10 Mar 2008
Wing Wah Tham and Mark Salmon
University of New South Wales (UNSW) and University of Cambridge - Faculty of Economics and Politics
Downloads 221 (138,270)
Citation 3

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Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.

7.

Divided Governments and Futures Prices

Journal of Econometrics, Forthcoming
Number of pages: 29 Posted: 12 May 2013 Last Revised: 05 Sep 2016
Elvira Sojli and Wing Wah Tham
UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 127 (223,476)

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Divided government, elections, expected returns, policy uncertainty, prediction markets

8.

Quoting Activity and the Cost of Capital

HEC Paris Research Paper No. FIN-2017-1232, 31st Australasian Finance and Banking Conference 2018
Number of pages: 53 Posted: 24 Jul 2017 Last Revised: 21 Dec 2018
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 110 (248,424)

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Quote-to-trade ratio, market making, liquidity, price discovery, monitoring, information acquisition, neglected stocks, inventory, high frequency trading

9.

Cross-Sided Liquidity Externalities

Management Science (Forthcoming)
Posted: 21 Mar 2012 Last Revised: 07 Feb 2018
Central Bank of Norway, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)

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Liquidity cycle, Liquidity externality, Two-sided markets, Make/take fees