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

38

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36

Scholarly Papers (38)

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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 1,622 (12,421)
Citation 1

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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 639 (48,107)
Citation 5

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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 570 (55,687)
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 554 (57,693)
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: 24 Feb 2021
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 549 (58,385)
Citation 29

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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 534 (60,441)
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 376 (92,248)
Citation 11

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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 362 (96,310)
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 339 (103,732)

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

10.

Bitcoin Spot and Futures Market Microstructure

Journal of Futures Markets (Forthcoming)
Number of pages: 56 Posted: 03 Oct 2019 Last Revised: 14 Sep 2020
Saketh Aleti and Bruce Mizrach
Duke University, Department of Economics and Rutgers University, Department of Economics
Downloads 322 (109,835)
Citation 2

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Bitcoin, futures, market microstructure, cryptocurrency

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 308 (115,217)
Citation 1

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

12.

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 307 (115,631)
Citation 1

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

13.

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 306 (116,051)
Citation 4

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

14.

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 262 (136,645)
Citation 1

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Analyst, Nasdaq, market maker

15.

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 248 (144,353)

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

16.

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 222 (160,566)
Citation 1

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

17.

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 167 (207,772)
Citation 10

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

18.

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 161 (214,192)
Citation 1

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

19.

Accounting for the Crisis

Number of pages: 10 Posted: 25 Jul 2011
Bruce Mizrach
Rutgers University, Department of Economics
Downloads 156 (220,051)
Citation 1

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leverage, special purpose entities, regulatory arbitrage

20.

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 154 (222,457)
Citation 2

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

21.

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 153 (223,612)
Citation 3

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

22.

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 141 (238,949)

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

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 133 (250,424)
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 113 (282,314)

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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 92 (323,957)

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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 81 (350,333)
Citation 1

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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 (368,937)

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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 69 (383,439)

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

29.

Alternative Trading Systems in the Corporate Bond Market

FRB of New York Staff Report No. 938
Number of pages: 34 Posted: 06 Aug 2020
Matthew Kozora, Bruce Mizrach, Matthew Peppe, Or Shachar and Jonathan S. Sokobin
Financial Industry Regulatory Authority (FINRA), Rutgers University, Department of Economics, Financial Industry Regulatory Authority (FINRA), Federal Reserve Bank of New York and FINRA
Downloads 46 (463,730)

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corporate bonds, TRACE, electronic trading

30.

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 36 (508,186)

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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)

31.

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 17

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COVID-19

32.

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 13 (649,605)

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COVID-19

33.

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 10

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COVID-19

34.

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 10

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COVID-19

35.

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
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36.

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 (745,286)

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

37.

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

38.

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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