Tugkan Tuzun

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

11

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Top 1,656

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20,361

SSRN CITATIONS
Rank 13,532

SSRN RANKINGS

Top 13,532

in Total Papers Citations

43

CROSSREF CITATIONS

37

Scholarly Papers (11)

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
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 17,839 (172)
Citation 41

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
Board of Governors of the Federal Reserve System
Downloads 551 (54,774)
Citation 6

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
Board of Governors of the Federal Reserve System
Downloads 138 (233,741)
Citation 8

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), Federal Reserve Board - Capital Markets Section and Board of Governors of the Federal Reserve System
Downloads 546 (56,080)
Citation 10

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 Board of Governors of the Federal Reserve System
Downloads 349 (95,948)
Citation 6

Abstract:

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trading activity, trade size, trade frequency

5.

Do ETFs Increase Liquidity?

Number of pages: 54 Posted: 17 Mar 2018 Last Revised: 25 Sep 2020
Mehmet Saglam, Tugkan Tuzun and Russ Wermers
University of Cincinnati - Department of Finance - Real Estate, Board of Governors of the Federal Reserve System and University of Maryland - Robert H. Smith School of Business
Downloads 345 (97,210)

Abstract:

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ETFs, Liquidity

6.

Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming
Number of pages: 22 Posted: 17 Feb 2018
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 240 (142,695)
Citation 3

Abstract:

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

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 Board of Governors of the Federal Reserve System
Downloads 145 (224,062)

Abstract:

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

8.

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 W and Tugkan Tuzun
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 94 (306,835)

Abstract:

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

9.

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 Board of Governors of the Federal Reserve System
Downloads 67 (374,169)

Abstract:

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Liquidity, Passive Trading, Price Impact

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 Board of Governors of the Federal Reserve System
Downloads 47 (441,804)

Abstract:

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

11.

Synthetic ETFs

FEDS Notes No. 2017-08-10 https://doi.org/10.17016/2380-7172.2028
Posted: 16 Oct 2017
Sirio Aramonte, Cecilia Caglio and Tugkan Tuzun
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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