Wing Wah Tham

University of New South Wales (UNSW)

Kensington

High St

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 12,103

SSRN RANKINGS

Top 12,103

in Total Papers Downloads

4,263

SSRN CITATIONS
Rank 15,882

SSRN RANKINGS

Top 15,882

in Total Papers Citations

16

CROSSREF CITATIONS

46

Scholarly Papers (9)

1.
Downloads 1,501 ( 12,850)
Citation 3

Execution Risk in High-Frequency Arbitrage

WBS Finance Group Research Paper No. 179
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 757 (34,765)
Citation 3

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

How Riskless is 'Riskless' Arbitrage?

WBS Finance Group Research Paper No. 134
Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 23 Dec 2019
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 744 (35,603)
Citation 1

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execution risk, limit to arbitrage, liquidity, inventory costs

2.
Downloads 1,045 ( 22,333)
Citation 25

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 26 Dec 2019
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 1,044 (21,972)
Citation 17

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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 (736,721)
Citation 2
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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
Number of pages: 57 Posted: 22 Mar 2011 Last Revised: 19 Jul 2016
Central Bank of Norway, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 500 (60,686)
Citation 9

Abstract:

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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 Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 402 (79,043)
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 Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 307 (107,294)
Citation 1

Abstract:

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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 223 (149,007)
Citation 3

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

7.

Quoting Activity and the Cost of Capital

Number of pages: 46 Posted: 24 Jul 2017 Last Revised: 03 Apr 2020
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 153 (208,666)

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

8.

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 Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 132 (235,040)

Abstract:

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

9.

Cross-Sided Liquidity Externalities

Management Science (Forthcoming)
Posted: 21 Mar 2012 Last Revised: 07 Feb 2018
Central Bank of Norway, UNSW Australia 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