Research interests
Market Microstructure, Behavioural Finance, International Finance
Publication
(with Michael Bleaney ) Do exchange rate bubbles deflate faster than they inflate?, Economics Bulletin, Vol. 29 no.3 (July 2009), pp. 1542-1548
(with Michael Bleaney) The performance of bid-ask spread estimators under less than ideal conditions, Studies in Economics and Finance, Vol. 32, no. 1 (March 2015), pp. 98-127
(with Michael Bleaney) A new spread estimator, Review of Quantitative Finance and Accounting, Volume 47, Issue 1 , pp 179-211 (July 2016) (online appendix)
(with Michael Bleaney) Decomposing the bid-ask spread in multi-dealer markets, International Journal of Finance & Economics, Vol. 21, no. 1 (January 2016), pp. 75-89
(with Michael Bleaney and Spiros Bougheas) Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market, Journal of Behavioral Finance, 2017
(with Brendan Lambe and Emmanuel Adegbite) New Bid-Ask Spread Estimators From Daily High and Low Prices, International Review of Financial Analysis, 2018, R code of the estimators and sample can be found here https://authors.elsevier.com/a/1XmHD3mS~2I56j
(with Weiping Qin and Brendan Lambe) Uncertain times and the insider perspective. International Review of Financial Analysis, forthcoming
Submitted Papers
Work in Progress
Market Microstructure, Behavioural Finance, International Finance
Publication
(with Michael Bleaney ) Do exchange rate bubbles deflate faster than they inflate?, Economics Bulletin, Vol. 29 no.3 (July 2009), pp. 1542-1548
(with Michael Bleaney) The performance of bid-ask spread estimators under less than ideal conditions, Studies in Economics and Finance, Vol. 32, no. 1 (March 2015), pp. 98-127
(with Michael Bleaney) A new spread estimator, Review of Quantitative Finance and Accounting, Volume 47, Issue 1 , pp 179-211 (July 2016) (online appendix)
(with Michael Bleaney) Decomposing the bid-ask spread in multi-dealer markets, International Journal of Finance & Economics, Vol. 21, no. 1 (January 2016), pp. 75-89
(with Michael Bleaney and Spiros Bougheas) Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market, Journal of Behavioral Finance, 2017
(with Brendan Lambe and Emmanuel Adegbite) New Bid-Ask Spread Estimators From Daily High and Low Prices, International Review of Financial Analysis, 2018, R code of the estimators and sample can be found here https://authors.elsevier.com/a/1XmHD3mS~2I56j
(with Weiping Qin and Brendan Lambe) Uncertain times and the insider perspective. International Review of Financial Analysis, forthcoming
Submitted Papers
Work in Progress