Bruce Mizrach

Rutgers University, Department of Economics

Professor

75 Hamilton Street

New Brunswick, NJ 08901

United States

http://snde.rutgers.edu/

  • Rutgers University, Department of Economics

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    • Tel: (848) 932-8636
    • Fax: (732) 932-7416
SCHOLARLY PAPERS

37

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34

Scholarly Papers (37)

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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 1,608 (11,368)

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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 622 (45,215)
Citation 4

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skyscraper height, business cycle, Granger causality, cointegration

3.

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 552 (52,710)
Citation 1

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Treasury, microstructure, spreads, order book, announcement

4.

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 - Alliance Manchester Business School
Downloads 549 (53,043)
Citation 12

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

5.

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

Journal of Financial Markets, Vol. 40, No. September, 2018
Number of pages: 54 Posted: 31 Jul 2009 Last Revised: 30 Oct 2018
Michael J. Fleming, Bruce Mizrach and Giang Nguyen
Federal Reserve Bank of New York, Rutgers University, Department of Economics and Pennsylvania State University - Smeal College of Business
Downloads 543 (53,787)
Citation 20

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

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 529 (55,639)
Citation 3

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Nasdaq, Level II, microstructure, tick

7.

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 373 (85,164)
Citation 10

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

8.

Location Basis Differentials in Crude Oil Prices

Number of pages: 29 Posted: 15 May 2014 Last Revised: 21 Jul 2019
Phat V. Luong, Bruce Mizrach and Yoichi Otsubo
SUNY Polytechnic Institute, College of Business Management, Rutgers University, Department of Economics and University of Manchester - Alliance Manchester Business School
Downloads 341 (94,037)
Citation 1

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Brent, West Texas Intermediate, Crude Oil, Basis Differential

9.

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 338 (94,988)

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

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 304 (106,776)

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

11.

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 300 (108,337)
Citation 1

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

12.

High Frequency Trading in the Equity Markets During US Treasury POMO

Number of pages: 32 Posted: 16 Jul 2013 Last Revised: 22 Feb 2018
Cheng Gao and Bruce Mizrach
Rutgers University, Department of Economics and Rutgers University, Department of Economics
Downloads 296 (110,294)
Citation 4

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

13.

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 259 (126,561)
Citation 1

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Analyst, Nasdaq, market maker

14.

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 246 (133,333)

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

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 221 (148,034)
Citation 1

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

16.

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 165 (192,861)
Citation 5

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

17.

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 159 (199,134)
Citation 1

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

18.

Accounting for the Crisis

Number of pages: 10 Posted: 25 Jul 2011
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 155 (203,435)
Citation 1

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leverage, special purpose entities, regulatory arbitrage

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 147 (212,547)
Citation 2

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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 146 (213,731)
Citation 3

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

21.

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 140 (221,073)

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

22.

Bitcoin Spot and Futures Market Microstructure

Number of pages: 56 Posted: 03 Oct 2019
Saketh Aleti and Bruce Mizrach
Duke University, Department of Economics and Rutgers University, Department of Economics
Downloads 131 (232,980)

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Bitcoin, futures, market microstructure, cryptocurrency

23.

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 130 (234,329)
Citation 1

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ECN, Microstructure, NASDAQ, SOES

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 111 (263,261)

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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 91 (300,631)

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chat room, strategic information, individual traders, behavioral finance

26.

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

NBER Working Paper No. w5371
Number of pages: 46 Posted: 13 Jul 2000 Last Revised: 24 Sep 2010
Michael D. Bordo, Bruce Mizrach and Anna J. Schwartz
Rutgers University, New Brunswick - Department of Economics, Rutgers University, Department of Economics and City University of New York (CUNY)
Downloads 75 (337,873)

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27.

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 74 (340,415)

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asymmetry, industry, Markov switching, leading indicators

28.

The Off Exchange Routing Decision

Number of pages: 39 Posted: 23 Aug 2019
Hyungil Kye and Bruce Mizrach
Rutgers University, New Brunswick - Department of Economics and Rutgers University, Department of Economics
Downloads 59 (383,334)

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off-exchange, dealers, over-the-counter; ATS; routing decision

29.

The Impact of SFAS No. 8 on Stock Market Based on a New Fama-French 3-Factor Model: An Empirical Evidence from US Stock Market

Banks and Bank Systems, Volume 9, Issue 4, 2014
Number of pages: 10 Posted: 06 Jul 2017
Wen Wang, Liuling Li, Yanjia Yang and Bruce Mizrach
Carnegie Mellon University- Heiz College, Nankai University, Nanyang Technological University (NTU) - Nanyang Business School and Rutgers University, Department of Economics
Downloads 27 (513,859)

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Fama-French 3-factor model, standardized standard asymmetric exponential power distribution (SSAEPD), EGARCH, statement of financial accounting standards No.8 (SFAS No.8)

30.

The Stock Market'S Wild Ride

Posted: 30 Apr 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and affiliation not provided to SSRN
Downloads 11

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COVID-19

31.

Federal Reserve System International Facilities

Posted: 14 May 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and affiliation not provided to SSRN
Downloads 5 (655,537)

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COVID-19

32.

Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities

Posted: 30 Apr 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and affiliation not provided to SSRN
Downloads 5

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COVID-19

33.

Supporting Small Borrowers: Abs Markets and the Talf

Posted: 30 Apr 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and affiliation not provided to SSRN
Downloads 5

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COVID-19

34.

Secondary Market Corporate Credit Facility Supports Main Street

Posted: 30 Apr 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and affiliation not provided to SSRN
Downloads 4

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35.

New Evidence of the Marginal Predictive Content of Small and Large Jumps

Number of pages: 59 Posted: 23 Aug 2019
Bo Yu, Bruce Mizrach and Norman R. Swanson
Rutgers University, New Brunswick - Department of Economics, Rutgers University, Department of Economics and Rutgers University - Department of Economics
Downloads 1 (691,984)

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Forecasting, Integrated Volatility, High-Frequency Data, Jumps, Realized Skewness, Cross-Sectional Stock Returns, Signed Jump Variation

36.

Jump and Cojump Risk in Subprime Home Equity Derivatives

https://doi.org/10.3905/jpm.2012.38.2.136
Posted: 21 May 2019
Bruce Mizrach
Rutgers University, Department of Economics

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

37.

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

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New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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official intervention, target zones

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

LIFE Working Paper No. 94-20
Posted: 29 Oct 2000
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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