Bruce Mizrach

Rutgers University, Department of Economics

Professor

75 Hamilton Street

New Brunswick, NJ 08901

United States

http://snde.rutgers.edu/

SCHOLARLY PAPERS

28

DOWNLOADS
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SSRN RANKINGS

Top 4,125

in Total Papers Downloads

7,930

CITATIONS
Rank 6,638

SSRN RANKINGS

Top 6,638

in Total Papers Citations

74

Scholarly Papers (28)

1.

Highs and Lows: A Behavioral and Technical Analysis

Number of pages: 20 Posted: 09 Apr 2008
Bruce Mizrach and Susan Weerts
Rutgers University, Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 1,388 (8,871)

Abstract:

behavioral finance, technical analysis, turnover, n-day high/low, abnormal returns

2.

Skyscraper Height and the Business Cycle: Separating Myth from Reality

Number of pages: 37 Posted: 10 Dec 2011 Last Revised: 16 Jul 2014
Jason Barr, Bruce Mizrach and Kusum Mundra
Newark College of Arts & Sciences - Department of Economics, Rutgers University, Department of Economics and Department of Economics, Rutgers University, Newark
Downloads 538 (37,419)

Abstract:

skyscraper height, business cycle, Granger causality, cointegration

3.

The Market Microstructure of the European Climate Exchange

Number of pages: 29 Posted: 07 Jun 2010 Last Revised: 14 Jul 2013
Bruce Mizrach and Yoichi Otsubo
Rutgers University, Department of Economics and University of Manchester - Manchester Business School
Downloads 490 (42,611)
Citation 8

Abstract:

carbon trading, market microstructure, bid-ask spread, market impact, information shares, order imbalance

4.

The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform

FRB of New York Staff Report No. 381
Number of pages: 54 Posted: 31 Jul 2009
Michael J. Fleming, Bruce Mizrach and Giang Nguyen
Federal Reserve Bank of New York, Rutgers University, Department of Economics and Smeal College of Business, Penn State University
Downloads 472 (47,944)
Citation 8

Abstract:

microstructure, Treasury market, bid-ask spread, price impact, information

5.

The Microstructure of the U.S. Treasury Market

FRB St. Louis Working Paper No. 2007-052B
Number of pages: 29 Posted: 12 Dec 2007
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 454 (45,522)
Citation 5

Abstract:

Treasury, microstructure, spreads, order book, announcement

6.

The Next Tick on Nasdaq: Does Level II Information Matter?

Number of pages: 46 Posted: 09 Sep 2002
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 444 (46,838)
Citation 2

Abstract:

Nasdaq, Level II, microstructure, tick

7.

Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 32 Posted: 09 Apr 2008 Last Revised: 03 Aug 2014
Bruce Mizrach and Susan Weerts
Rutgers University, Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 297 (77,878)
Citation 3

Abstract:

behavioral finance, day trading, familiarity bias, disposition effect, experts

8.

Jump and Cojump Risk in Subprime Home Equity Derivatives

Number of pages: 18 Posted: 04 Feb 2008 Last Revised: 16 May 2011
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 293 (84,145)
Citation 8

Abstract:

Asset Backed Securities, Credit Default Swaps, Housing Futures, Subprime, Jumps, Cojumps

9.

Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts

CFS Working Paper No. 2005/09
Number of pages: 45 Posted: 19 Apr 2005
Markus Haas, Stefan Mittnik and Bruce Mizrach
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and Rutgers University, Department of Economics
Downloads 279 (85,441)
Citation 5

Abstract:

Options, Implied Probability Densities, GARCH, Fat-Tails, Exchange Rate Mechanism

10.

Integration of the Global Carbon Markets

Number of pages: 51 Posted: 27 Jan 2010 Last Revised: 24 May 2014
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 274 (85,124)
Citation 3

Abstract:

carbon, greenhouse gases, emission allowances, market architecture, cointegration

11.

Market Quality Breakdowns in Equities

Number of pages: 41 Posted: 29 Sep 2012 Last Revised: 20 Dec 2015
Cheng Gao and Bruce Mizrach
Rutgers University, Department of Economics and Rutgers University, Department of Economics
Downloads 254 (77,049)

Abstract:

market quality, breakdown, breakups, correlation, high frequency trading

12.

Analyst Recommendations and Nasdaq Market Making Activity

Rutgers University Economics Working Paper No. 2003-07
Number of pages: 50 Posted: 11 Feb 2004
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 244 (99,979)
Citation 4

Abstract:

Analyst, Nasdaq, market maker

13.

Tail Return Analysis of Bear Stearns Credit Default Swaps

Number of pages: 28 Posted: 11 Mar 2010 Last Revised: 16 Mar 2010
Liuling Li and Bruce Mizrach
Nankai University and Rutgers University, Department of Economics
Downloads 200 (114,894)

Abstract:

Bear Stearns, credit default swaps, Bayesian analysis, exponential power distribution

14.

High Frequency Trading in the Equity Markets During US Treasury POMO

Number of pages: 32 Posted: 16 Jul 2013 Last Revised: 08 Dec 2015
Cheng Gao and Bruce Mizrach
Rutgers University, Department of Economics and Rutgers University, Department of Economics
Downloads 178 (107,979)

Abstract:

high frequency trading, Federal Reserve, open market operations, private information

15.

Price Discovery in the U.S. Treasury Market

FRB of St. Louis Working Paper No. 2005-070C
Number of pages: 32 Posted: 06 Sep 2006
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 165 (135,693)
Citation 2

Abstract:

price discovery, Treasury market, microstructure, GovPX, futures, information shares

16.

The Impact of Monetary Policy on Bond Returns: A Segmented Markets Approach

Rutgers University Economics Working Paper No. 2004-02
Number of pages: 19 Posted: 10 Aug 2004
Bruce Mizrach and Filippo Occhino
Rutgers University, Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 149 (157,908)
Citation 2

Abstract:

Bond returns volatility, limited participation, segmented markets, monetary policy shocks

17.

Accounting for the Crisis

Number of pages: 10 Posted: 25 Jul 2011
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 140 (166,304)
Citation 1

Abstract:

leverage, special purpose entities, regulatory arbitrage

18.

Information Shares in the U.S. Treasury Market

FRB of St. Louis Working Paper No. 2005-070E
Number of pages: 33 Posted: 03 Oct 2007
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 137 (168,158)
Citation 5

Abstract:

information shares, Treasury market, microstructure, GovPX, futures, price discovery

19.

Recovering Probabilistic Information from Options Prices and the Underlying

Number of pages: 29 Posted: 25 Mar 2007
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 125 (177,115)
Citation 1

Abstract:

options, implied probability densities, volatility smile, jump risk, bipower variation

20.

Leverage and VAR as Measures of Bank Distress: Comment on 'Endogenous and Systemic Risk'

Number of pages: 17 Posted: 12 May 2011
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 124 (172,058)
Citation 2

Abstract:

systemic risk, leverage, VaR, asset pricing, balance sheets

21.

Should ECNs be SOES-able?

Rutgers University Dept. of Economics Working Paper No. 2000-10
Number of pages: 19 Posted: 29 May 2002
Bruce Mizrach and Yijie Zhang
Rutgers University, Department of Economics and Yale School of Management
Downloads 122 (187,142)
Citation 1

Abstract:

ECN, Microstructure, NASDAQ, SOES

22.

Location Basis Differentials in Crude Oil Prices

Number of pages: 31 Posted: 15 May 2014 Last Revised: 01 Apr 2015
Yang Li, Bruce Mizrach and Yoichi Otsubo
School of Finance, Nankai University, Rutgers University, Department of Economics and University of Manchester - Manchester Business School
Downloads 120 (117,029)

Abstract:

Brent, West Texas Intermediate, crude oil, basis differential

23.

An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books

Number of pages: 18 Posted: 10 May 2012 Last Revised: 20 Oct 2012
Huimin Chung, Cheng Gao, Jie Lu and Bruce Mizrach
National Chiao-Tung University - Graduate Institute of Finance, Rutgers University, Department of Economics, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers University, Department of Economics
Downloads 112 (185,994)

Abstract:

limit order book, Chinese stock market, microstructure, VAR model

24.

Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision

Number of pages: 19 Posted: 13 Jun 2006 Last Revised: 02 May 2017
David Goldbaum and Bruce Mizrach
University of Technology Sydney and Rutgers University, Department of Economics
Downloads 102 (214,391)
Citation 4

Abstract:

heterogenous agents, intensity of choice, mutual funds

25.

Strategic Interaction in a Stock Trading Chat Room

Number of pages: 50 Posted: 24 Jan 2011 Last Revised: 17 Aug 2014
Jie Lu and Bruce Mizrach
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers University, Department of Economics
Downloads 72 (254,296)

Abstract:

chat room, strategic information, individual traders, behavioral finance

26.

A Note On Demand and Supply Factors In Manufacturing Output Asymmetries

Macroeconomic Dynamics, Forthcoming
Number of pages: 21 Posted: 03 Jun 2004 Last Revised: 15 Jun 2008
Oleg Korenok, Bruce Mizrach and Stanislav Radchenko
Virginia Commonwealth University - School of Business, Rutgers University, Department of Economics and University of North Carolina at Charlotte
Downloads 67 (274,740)

Abstract:

asymmetry, industry, Markov switching, leading indicators

27.

Real Versus Pseudo-International Systemic Risk: Some Lessons from History

NBER Working Paper No. w5371
Number of pages: 46 Posted: 13 Jul 2000
Michael D. Bordo, Bruce Mizrach and Anna J. Schwartz
Harvard University - Department of Economics, Rutgers University, Department of Economics and City University of New York (CUNY)
Downloads 60 (283,701)
Citation 9

Abstract:

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Tilburg University - Department of Finance, Rutgers University, Department of Economics, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

official intervention, target zones

New Evidence On The Effectiveness Of Foreign Exchange Market Intervention

LIFE Working Paper No. 94-20
Posted: 29 Oct 2000
Tilburg University - Department of Finance, Rutgers University, Department of Economics, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract: