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Bruce Mizrach

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Personal Details

First Name: Bruce
Middle Name:
Last Name: Mizrach
Suffix:

RePEc Short-ID: pmi12

Email:
Homepage: http://snde.rutgers.edu
Postal Address: Department of Economics Rutgers University 75 Hamilton Street New Brunswick, NJ 08901
Phone: (908) 913-0253

Affiliation

Department of Economics
Rutgers University-New Brunswick
Location: New Brunswick, New Jersey (United States)
Homepage: http://economics.rutgers.edu/
Email:
Phone: (732) 932-7482
Fax: (732) 932-7416
Postal: New Jersey Hall - 75 Hamilton Street, New Brunswick, NJ 08901-1248
Handle: RePEc:edi:derutus (more details at EDIRC)

Works

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Working papers

  1. Cheng Gao & Bruce Mizrach, 2013. "High Frequency Trading in the Equity Markets During U.S. Treasury POMO," Departmental Working Papers 201320, Rutgers University, Department of Economics.
  2. Cheng Gao & Bruce Mizrach, 2013. "Market Quality Breakdowns in Equities," Departmental Working Papers 201318, Rutgers University, Department of Economics.
  3. Jie Lu & Bruce Mizrach, 2013. "Strategic Interaction in A Stock Trading Chat Room," Departmental Working Papers 201317, Rutgers University, Department of Economics.
  4. Oleg Korenok & Bruce Mizrach & Stanislav Radchenko, 2011. "A Structural Approach To Information Shares," Departmental Working Papers 201130, Rutgers University, Department of Economics.
  5. Jason Barr & Bruce Mizrach & Kusum Mundra, 2011. "Skyscraper Height and the Business Cycle: International Time Series Evidence," Working Papers Rutgers University, Newark 2011-003, Department of Economics, Rutgers University, Newark.
  6. Liuling Li & Bruce Mizrach, 2010. "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers 201003, Rutgers University, Department of Economics.
  7. Bruce Mizrach & Yoichi Otsubo, 2010. "The Market Microstructure of the European Climate Exchange," Departmental Working Papers 201005, Rutgers University, Department of Economics.
  8. Bruce Mizrach, 2009. "Integration of the Global Emissions Trading Markets," Departmental Working Papers 200901, Rutgers University, Department of Economics.
  9. Huimin Chung & Jie Lu & Bruce Mizrach, 2009. "An Empirical Analysis of the Shanghai and Shenzen Limit Order Books," CQE Working Papers 0109, Center for Quantitative Economics (CQE), University of Muenster.
  10. Bruce Mizrach, 2008. "Jump and Cojump Risk in Subprime Home Equity Derivatives," Departmental Working Papers 200802, Rutgers University, Department of Economics.
  11. Michael Fleming & Bruce Mizrach, 2008. "The Microstructure of a U.S. Treasury ECN: The Brokertec Platform," Departmental Working Papers 200803, Rutgers University, Department of Economics.
  12. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  13. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis.
  14. Jie Lu & Bruce Mizrach, 2007. "Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room," Departmental Working Papers 200701, Rutgers University, Department of Economics.
  15. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
  16. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics.
  17. Bruce Mizrach & Susan Zhang Weerts, 2006. "Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup," Departmental Working Papers 200601, Rutgers University, Department of Economics.
  18. Bruce Mizrach, 2006. "Nonlinear Time Series Analysis," Departmental Working Papers 200604, Rutgers University, Department of Economics.
  19. Bruce Mizrach & Susan Weerts, 2006. "Highs and Lows: A Behavioral and Technical Analysis," Departmental Working Papers 200610, Rutgers University, Department of Economics.
  20. Bruce Mizrach & Chris Neely, 2006. "The Transition to Electronic Trading in the Secondary Treasury Market," Departmental Working Papers 200603, Rutgers University, Department of Economics.
  21. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
  22. David Goldbaum & Bruce Mizrach, 2004. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers 200414, Rutgers University, Department of Economics.
  23. Bruce Mizrach, 2004. "A Video Interview of Buz Brock," Departmental Working Papers 200417, Rutgers University, Department of Economics.
  24. Bruce Mizrach & Filippo Occhino, 2004. "The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach," Departmental Working Papers 200402, Rutgers University, Department of Economics.
  25. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics.
  26. Bruce Mizrach & Susan Weerts, 2004. "Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room," Departmental Working Papers 200412, Rutgers University, Department of Economics.
  27. Bruce Mizrach, 2003. "Analyst Recommendations and Nasdaq Market Making Activity," Departmental Working Papers 200307, Rutgers University, Department of Economics.
  28. Bruce Mizrach, 2002. "The Next Tick on Nasdaq: Does Level II Information Matter?," Departmental Working Papers 200202, Rutgers University, Department of Economics.
  29. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics.
  30. Bruce Mizrach & Yijie Zhang, 2000. "Should ECNs be SOES-able?," Departmental Working Papers 200010, Rutgers University, Department of Economics.
  31. Bruce Mizrach, 1998. "Methods for Extracting the Implied Distributions in Option Prices," Departmental Working Papers 199819, Rutgers University, Department of Economics.
  32. Bruce Mizrach & James Watkins, 1998. "A Markov Switching Cookbook," Departmental Working Papers 199817, Rutgers University, Department of Economics.
  33. Bruce Mizrach, 1997. "The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options," Departmental Working Papers 199522, Rutgers University, Department of Economics.
  34. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics.
  35. Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics.
  36. Koedijk, C.G. & Mizrach, B. & Stork, P.A. & Vries, C.G. de, 1995. "New evidence on the effectiveness of foreign exchange market intervention," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108684, Tilburg University.
  37. Michael D. Bordo & Bruce Mizrach & Anna J. Schwartz, 1995. "Real Versus Pseudo-International Systemic Risk: Some Lessons from History," NBER Working Papers 5371, National Bureau of Economic Research, Inc.
  38. Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.

Articles

  1. Mizrach, Bruce & Otsubo, Yoichi, 2014. "The market microstructure of the European climate exchange," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 107-116.
  2. Chung, Huimin & Gao, Cheng & Lu, Jie & Mizrach, Bruce, 2013. "An empirical analysis of the Shanghai and Shenzhen limit order books," Economic Modelling, Elsevier, vol. 34(C), pages 37-41.
  3. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
  4. Bruce Mizrach, 2010. "Nonlinear Mean Reversion in EMS Exchange Rates," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 187-199.
  5. Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
  6. Mizrach, Bruce & Weerts, Susan, 2009. "Experts online: An analysis of trading activity in a public Internet chat room," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 266-281, May.
  7. Korenok, Oleg & Mizrach, Bruce & Radchenko, Stanislav, 2009. "A Note On Demand And Supply Factors In Manufacturing Output Asymmetries," Macroeconomic Dynamics, Cambridge University Press, vol. 13(02), pages 263-277, April.
  8. Mizrach, Bruce, 2009. "Comment on "Modelling nonlinear comovements between time series"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 212-215, March.
  9. Bruce Mizrach & Susan Weerts, 2009. "Highs and lows: a behavioural and technical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(10), pages 767-777.
  10. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
  11. Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December.
  12. Mizrach Bruce, 2008. "A Video Interview with James Hamilton," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-5, May.
  13. Mizrach, Bruce & Occhino, Filippo, 2008. "The impact of monetary policy on bond returns: A segmented markets approach," Journal of Economics and Business, Elsevier, vol. 60(6), pages 485-501.
  14. Bruce Mizrach, 2008. "The next tick on Nasdaq," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 19-40.
  15. B. Mizrach, 2006. "Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Competition and Regulation in Network Industries, Intersentia, vol. 7(4), pages 471-486, December.
  16. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April.
  17. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542.
  18. Bruce Mizrach, 2006. "The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 365-382, December.
  19. Mizrach Bruce, 2005. "A Video Interview of Buz Brock," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-5, March.
  20. Mizrach, Bruce, 1996. "Determining delay times for phase space reconstruction with application to the FF/DM exchange rate," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 369-381, September.
  21. Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G., 1995. "New evidence on the effectiveness of foreign exchange market intervention," European Economic Review, Elsevier, vol. 39(3-4), pages 501-508, April.
  22. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October.
  23. Mizrach, Bruce, 1994. "Exchange rate theory: Chaotic models of foreign exchange markets : Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993," Journal of Economic Behavior & Organization, Elsevier, vol. 25(3), pages 473-475, December.
  24. Mizrach, Bruce, 1992. "The distribution of the Theil U-statistic in bivariate normal populations," Economics Letters, Elsevier, vol. 38(2), pages 163-167, February.
  25. Mayfield, E Scott & Mizrach, Bruce, 1992. "On Determining the Dimension of Real-Time Stock-Price Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 367-74, July.
  26. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S151-63, Suppl. De.
  27. Mizrach, Bruce, 1992. "The state of economic dynamics: A review essay," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 175-190, January.
  28. Klein, Michael & Mizrach, Bruce & Murphy, Robert G, 1991. "Managing the Dollar: Has the Plaza Agreement Mattered?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(4), pages 742-51, November.
  29. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 515-538, July.
  30. Mizrach, Bruce & Santomero, Anthony M., 1990. "A liquidity-in-advance model of the demand for money under price uncertainty," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 143-159, August.
  31. Mizrach, Bruce & Santomero, Anthony M, 1986. "The Stability of Money Demand and Forecasting through Changes in Regimes [The Demand for Money Revisited] [The Case of the Missing Money]," The Review of Economics and Statistics, MIT Press, vol. 68(2), pages 324-28, May.

Chapters

  1. Bruce Mizrach, 2012. "Comment on "Endogenous and Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 94-105 National Bureau of Economic Research, Inc.

Editor

  1. Studies in Nonlinear Dynamics & Econometrics, De Gruyter.

NEP Fields

24 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-03-20
  2. NEP-CBA: Central Banking (1) 2006-09-16
  3. NEP-CFN: Corporate Finance (2) 2006-01-24 2006-01-24
  4. NEP-CTA: Contract Theory & Applications (2) 2013-07-28 2013-07-28
  5. NEP-DGE: Dynamic General Equilibrium (1) 2004-06-02
  6. NEP-ECM: Econometrics (2) 2006-09-16 2007-03-10
  7. NEP-ENE: Energy Economics (2) 2010-07-17 2013-12-15
  8. NEP-ENV: Environmental Economics (2) 2010-07-17 2013-12-15
  9. NEP-ETS: Econometric Time Series (1) 2006-09-16
  10. NEP-EUR: Microeconomic European Issues (2) 2010-07-17 2013-12-15
  11. NEP-FIN: Finance (4) 2005-11-19 2005-12-01 2006-01-24 2006-09-16
  12. NEP-FMK: Financial Markets (7) 2005-12-01 2006-01-24 2006-01-24 2006-09-16 2008-01-05 2010-03-20 2013-07-28. Author is listed
  13. NEP-LAW: Law & Economics (1) 2006-01-24
  14. NEP-MON: Monetary Economics (1) 2004-06-02
  15. NEP-MST: Market Microstructure (10) 2007-03-10 2008-01-05 2009-08-30 2009-12-11 2010-07-17 2013-07-28 2013-07-28 2013-07-28 2013-07-28 2013-12-15. Author is listed
  16. NEP-RMG: Risk Management (1) 2010-03-20
  17. NEP-TRA: Transition Economics (2) 2009-12-11 2013-07-28

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