Tugkan Tuzun

Federal Reserve Board

Economist

DC 20551

United States

SCHOLARLY PAPERS

10

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18,914

CITATIONS
Rank 7,651

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Top 7,651

in Total Papers Citations

61

Scholarly Papers (10)

1.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 10 Mar 2018
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 16,926 (156)
Citation 58

Abstract:

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High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making

Are Leveraged and Inverse ETFs the New Portfolio Insurers?

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 51 Posted: 19 Dec 2012 Last Revised: 26 Sep 2014
Tugkan Tuzun
Federal Reserve Board
Downloads 507 (52,479)
Citation 1

Abstract:

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ETFs, Price Impact, Financial Stability, Stock Market Crashes

Are Leveraged and Inverse ETFs the New Portfolio Insurers?

FEDS Working Paper No. 2013-48
Number of pages: 43 Posted: 16 Oct 2013
Tugkan Tuzun
Federal Reserve Board
Downloads 105 (252,320)
Citation 1

Abstract:

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ETFs, price impact, financial stability, stock market crashes

3.

News Articles and the Invariance Hypothesis

AFA 2012 Chicago Meetings Paper, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 41 Posted: 16 Mar 2011 Last Revised: 14 Jan 2012
University of Maryland, New Economic School (NES), Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 506 (53,205)
Citation 2

Abstract:

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4.

Microstructure Invariance in U.S. Stock Market Trades

Number of pages: 60 Posted: 21 Mar 2010 Last Revised: 18 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 317 (92,722)

Abstract:

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trading activity, trade size, trade frequency

5.

Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming
Number of pages: 22 Posted: 17 Feb 2018
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 148 (193,266)

Abstract:

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High-Frequency, Automation, Volatility, Flash Crash, Intermediation, Market Making

6.

Do ETFs Increase Liquidity?

Number of pages: 63 Posted: 17 Mar 2018 Last Revised: 22 Apr 2019
Mehmet Sa─člam, Tugkan Tuzun and Russ Wermers
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Board and University of Maryland - Robert H. Smith School of Business
Downloads 140 (202,070)

Abstract:

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ETFs, Liquidity

7.

Microstructure Invariance in U.S. Stock Market Trades

FEDS Working Paper No. 2016-034
Number of pages: 49 Posted: 04 May 2016
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 134 (210,559)

Abstract:

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market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, TAQ data

8.

Trader Positions and Marketwide Liquidity Demand

FEDS Working Paper No. 2017-103
Number of pages: 36 Posted: 09 Oct 2017
Esen Onur, John Spencer Roberts and Tugkan Tuzun
Commodity Futures Trading Commission (CFTC), Commodity Futures Trading Commission (CFTC) and Federal Reserve Board
Downloads 50 (379,532)

Abstract:

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Liquidity, Passive Trading, Price Impact

9.

Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded Funds

Number of pages: 45 Posted: 09 Nov 2018 Last Revised: 14 Dec 2018
David E Rappoport and Tugkan Tuzun
Federal Reserve Board and Federal Reserve Board
Downloads 48 (386,179)

Abstract:

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Exchange traded funds, ETF, market liquidity, law of one-price, arbitrage, ETF premium

10.

Price Pressure and Price Discovery in the Term Structure of Interest Rates

FEDS Working Paper No. 2018-065
Number of pages: 44 Posted: 05 Oct 2018 Last Revised: 21 Feb 2019
Scott Mixon and Tugkan Tuzun
Commodity Futures Trading Commission and Federal Reserve Board
Downloads 33 (443,082)

Abstract:

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Dealers, Liquidity, Price discovery, Price pressure, Treasury market