75 Hamilton Street
New Brunswick, NJ 08901
United States
http://snde.rutgers.edu/
Rutgers University, Department of Economics
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behavioral finance, technical analysis, turnover, n-day high/low, abnormal returns
skyscraper height, business cycle, Granger causality, cointegration
Treasury, microstructure, spreads, order book, announcement
carbon trading, market microstructure, bid-ask spread, market impact, information shares, order imbalance
microstructure, Treasury market, bid-ask spread, price impact, information
Bitcoin, futures, market microstructure, cryptocurrency
Nasdaq, Level II, microstructure, tick
Stablecoins, transactions, fee, hazard function, market microstructure, cryptocurrency
market quality, breakdown, breakups, correlation, high frequency trading
Brent, West Texas Intermediate, Crude Oil, Basis Differential
behavioral finance, day trading, familiarity bias, disposition effect, experts
Options, Implied Probability Densities, GARCH, Fat-Tails, Exchange Rate Mechanism
carbon, greenhouse gases, emission allowances, market architecture, cointegration
high frequency trading, Federal Reserve, open market operations, private information
Analyst, Nasdaq, market maker
Bear Stearns, credit default swaps, Bayesian analysis, exponential power distribution
price discovery, Treasury market, microstructure, GovPX, futures, information shares
information shares, Treasury market, microstructure, GovPX, futures, price discovery
Bond returns volatility, limited participation, segmented markets, monetary policy shocks
systemic risk, leverage, VaR, asset pricing, balance sheets
options, implied probability densities, volatility smile, jump risk, bipower variation
leverage, special purpose entities, regulatory arbitrage
limit order book, Chinese stock market, microstructure, VAR model
corporate bonds, TRACE, electronic trading
ECN, Microstructure, NASDAQ, SOES
heterogenous agents, intensity of choice, mutual funds
off-exchange, dealers, over-the-counter; ATS; routing decision
chat room, strategic information, individual traders, behavioral finance
NYSE Floor Closure, Covid-19 Pandemic, Synthetic Control Method, Machine Learning
asymmetry, industry, Markov switching, leading indicators
Fama-French 3-factor model, standardized standard asymmetric exponential power distribution (SSAEPD), EGARCH, statement of financial accounting standards No.8 (SFAS No.8)
COVID-19
Forecasting, Integrated Volatility, High-Frequency Data, Jumps, Realized Skewness, Cross-Sectional Stock Returns, Signed Jump Variation
Asset Backed Securities, Credit Default Swaps, Housing Futures, Subprime, Jumps, Cojumps
official intervention, target zones