Tham, W.W.

(Wing Wah Tham)

market order ﬂ ash orders arbitrage stock stock market illiquidity illiquidity liquidity price table 0.00 return trading panel result execution execution risk trade factor arbitrageur di ﬀerence period spread variable sample regression 12 ilrsm b information limit number change measure arbitrage cluster exchange cluster ﬀerence flash model sample period trader strategy ilrsm event bond returns ﬂ ash period asset panel b quality deviation paper nasdaq increase portfolio signi introduction analysis bond risk premia p-val removal volatility 0.01 journal market quality study arbitrage deviation market i arbitrage opportunities opportunity fund ﬂ ows volume limit orders premia ﬂ ashed orders probability ﬁ ve days money market limit order book 12 ilr ﬂ ash ashed

3 Most Recent Publications

Aggregate Stock Market Illiquidity and Bond Risk Premia (Research Paper) Bouwman, K.E. Sojli, E. Tham, W.W.	2012-12-12
Sunshine Trading: Flashes of Trading Intent at the NASDAQ (Research Paper) Skjeltorp, J.A. Sojli, E. Tham, W.W.	2012-12-12
Execution Risk High-frequency Arbitrage (Article) Kozhan, R. Tham, W.W.	2012-11-01

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