Wing Wah Tham

Erasmus School of Economics - Econometric Institute

Assistant Professor of Financial Econometrics

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

http://people.few.eur.nl/tham/

SCHOLARLY PAPERS

10

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4,431

CITATIONS
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5

Scholarly Papers (10)

1.
Downloads 1,300 ( 11,296)
Citation 1

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 Erasmus School of Economics - Econometric Institute
Downloads 652 (30,972)
Citation 1

Abstract:

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 Erasmus School of Economics - Econometric Institute
Downloads 648 (31,227)

Abstract:

execution risk, limit to arbitrage, liquidity, inventory costs

2.
Downloads 864 ( 21,133)

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 Erasmus School of Economics - Econometric Institute
Downloads 863 (20,783)

Abstract:

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 Erasmus School of Economics - Econometric Institute
Downloads 1 (568,590)

Abstract:

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 Erasmus School of Economics - Econometric Institute
Downloads 446 (51,459)
Citation 2

Abstract:

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 Erasmus School of Economics - Econometric Institute
Downloads 389 (60,769)
Citation 1

Abstract:

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

5.

Trading on Algos

Number of pages: 40 Posted: 02 Nov 2013 Last Revised: 02 Feb 2016
Central Bank of Norway, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 305 (52,596)

Abstract:

Asset pricing, Algorithmic trading, High frequency trading, Market quality, Liquidity

6.

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, Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 234 (93,243)

Abstract:

liquidity, forecasting, expected returns, economic valuation

7.

Identifying Cross-Sided Liquidity Externalities

Asian Finance Association (AsFA) 2013 Conference, Norges Bank Working Paper 2012-20
Number of pages: 55 Posted: 21 Mar 2012 Last Revised: 19 Aug 2013
Central Bank of Norway, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 210 (119,155)

Abstract:

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

8.

Time Deformation and Term Structure of Interest Rates

Number of pages: 34 Posted: 10 Mar 2008
Wing Wah Tham and Mark Salmon
Erasmus School of Economics - Econometric Institute and University of Cambridge - Faculty of Economics and Politics
Downloads 199 (117,536)

Abstract:

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

9.

Stock Market Illiquidity, Funding Liquidity, and Bond Risk Premia

Asian Finance Association (AsFA) 2013 Conference, 26th Australasian Finance and Banking Conference 2013
Number of pages: 57 Posted: 20 Mar 2012 Last Revised: 05 Dec 2013
Kees E. Bouwman, Elvira Sojli and Wing Wah Tham
Cardano Risk Management, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 105 (133,590)

Abstract:

Market liquidity, Bond risk premia, Flight-to-quality

10.

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 Erasmus School of Economics - Econometric Institute
Downloads 97 (195,542)

Abstract:

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