Sean Foley

Macquarie University

North Ryde

Sydney, 2109

Australia

  • Macquarie University

SCHOLARLY PAPERS

9

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1,187

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Scholarly Papers (9)

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1.

Digital Assets and Markets: A Transaction-Cost analysis of market architectures

SWIFT Institute Working Paper No. 2021-001
Number of pages: 48 Posted: 14 Dec 2022 Last Revised: 16 Dec 2022
Angelo Aspris, Anne Haubo Dyhrberg, Tālis J. Putniņš and Sean Foley
University of Sydney - Discipline of Finance, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Technology Sydney (UTS) and Macquarie University
Downloads 256 (206,252)

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tokenized assets, digital assets, market architectures, tokenzied economy

2.

A Better Market Design? Applying ‘Automated Market Makers’ to Traditional Financial Markets

Number of pages: 58 Posted: 26 May 2023 Last Revised: 18 Jun 2023
Sean Foley, Peter O'Neill and Tālis J. Putniņš
Macquarie University, UNSW Australia Business School, School of Banking and Finance and University of Technology Sydney (UTS)
Downloads 251 (210,264)

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Market Design, Liquidity, Automated Market Makers, Cryptocurrency, Uniswap

3.

Sharks in the Dark: Quantifying Hft Dark Pool Latency Arbitrage

Number of pages: 50 Posted: 08 Jul 2022
Sean Foley, Peter O'Neill, Matteo Aquilina and Thomas Ruf
Macquarie University, UNSW Australia Business School, School of Banking and Finance, Bank for International Settlements and University of New South Wales (UNSW)
Downloads 190 (273,000)

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high-frequency trading, dark pools, latency arbitrage, stale quotes, reference prices

4.

Can Retail Traders Harm Market Efficiency? Evidence from Closing Price Auctions during COVID-19

Number of pages: 26 Posted: 16 Aug 2022
Sean Foley, Petko S. Kalev, Kinsoon Lim and Vinay Patel
Macquarie University, RoZetta Institute, Macquarie University and University of Technology Sydney (UTS)
Downloads 164 (310,231)

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COVID-19, closing, auction, price, dislocation, efficiency, high-frequency, retail, trading

5.

Financial Uncertainty and the Cross-Section of Cryptocurrency Returns

Number of pages: 53 Posted: 24 Jul 2023
Gonul Colak, Joshua Della Vedova, Sean Foley and Sinh Thoi Mai
University of Sussex, The University of San Diego - Knauss School of Business, Macquarie University and Hanken School of Economics
Downloads 110 (423,098)

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Cross-section of cryptocurrency returns, Financial uncertainty, Taxonomy of cryptocurrencies

6.

Not so Fast: Identifying and Remediating Slow and Imprecise Cryptocurrency Exchange Data

Number of pages: 15 Posted: 07 Jul 2022
Sean Foley, William Krekel, Vito Mollica and Jiri Svec
Macquarie University, Macquarie University, Macquarie Graduate School of Management and The University of Sydney - Discipline of Finance
Downloads 82 (513,112)

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cryptocurrency, Bitcoin, Ethereum, Market Microstructure, Trade Data, Kaiko, Market Order Aggregation, Trade Direction

7.

Identifying and Characterising Opening Auction Manipulation

Number of pages: 50 Posted: 14 Oct 2022
Huu Nhan Duong, Sean Foley, Petko S. Kalev and Kinsoon Lim
Monash University - Department of Banking and Finance, Macquarie University, RoZetta Institute and Macquarie University
Downloads 81 (516,811)

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Pre-opening phase, Futures expiry, Opening price, Market manipulation, Index, Market quality

8.

Assessing the Impact of Battery Storage on Australian Electricity Markets

Number of pages: 37 Posted: 02 Dec 2022
Arvind Rangarajan, Sean Foley and Stefan Trück
Macquarie University, Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 33 (774,615)

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Electricity markets, Market Quality, Battery Storage

9.

Identifying Geographical Characteristics of Financial Tweeting an Explorative Study of Financial Tweeting in the USA and Australia

Number of pages: 16 Posted: 26 Aug 2023
M. Al Guindy and Sean Foley
Carleton University - Eric Sprott School of Business and Macquarie University
Downloads 20 (894,761)

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Social Media, Wisdom of the Crowd, textual analysis, big data