Working Papers

Barr, Jason, Bruce Mizrach, and Kusum Mundra, Skyscraper Height and the Business Cycle: Separating Myth from Reality, Revised: July 2014.

Li, Yang, Bruce Mizrach and Yoichi Otsubo Location Basis Differentials in Oil Prices, May 2014.

Fleming, Michael, Bruce Mizrach and Giang Nguyen The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform, Revised: April 2014.

Gao, Cheng and Bruce Mizrach, Market Quality Breakdowns in Equities, Revised: September 2013.

Gao, Cheng and Bruce Mizrach, High Frequency Trading in the Equity Market During U.S. Treasury POMO, July 2013.

Lu, Jie and Bruce Mizrach, Strategic Interaction in A Stock Trading Chat Room, Revised: January 2013.

Korenok, Oleg, Bruce Mizrach, and Stan Radchenko, A Structural Approach to Information Shares, Revised: September 2011.

Mizrach, Bruce, Accounting for the Crisis, May 2011.

Publications

Books

Mizrach, Bruce The Encyclopedia of Complexity and System Science, Section Editor for Finance and Econometrics, New York: Springer-Verlag, 2009.

Papers

Yun-Jen Wang, Huimin Chung, and Bruce Mizrach, Econometric Analysis of Currency Carry Trade, Handbook of Financial Econometrics and Statistics, New York: Springer-Verlag, forthcoming.

Mizrach, Bruce and Yoichi Otsubo, The Market Microstructure of the European Climate Exchange, Journal of Banking and Finance, 39, 2014, 107-16.

Chung, Huimin, Cheng Gao, Jie Lu, and Bruce Mizrach, An Empirical Analysis of the Shanghai and Shenzen Limit Order Books, Economic Modeling 34, 2013, 37-41.

Mizrach, Bruce, Leverage and VaR as Measures of Bank Distress: Comment,in Joseph Haubrich and Andrew Lo (eds.), Quantifying Systemic Risk, Chicago: U. Chicago Press for NBER, 2013, 94-105.

Mizrach, Bruce, Jumps and Cojumps in Subprime Home Equity Derivatives, Journal of Portfolio Management, 38, 2012, 136-46.

Mizrach, Bruce, Integration of the Global Carbon Markets, Energy Economics 34, 2012, 335-49.

Mizrach, Bruce, Learning and Conditional Heteroscedasticity in Asset Returns, in Catherine Kyrtsou and Costas Vorlow (eds.), Progress in Financial Markets Research, New York: Nova Science, 2012, 1-14.

Li, Liuling and Bruce Mizrach, Tail Return Analysis of Bear Stearns Credit Default Swaps, Economic Modelling 27, 2010, 1529-36.

Mizrach, Bruce, Does a Common Trend Exist Between EUA and CER prices?, Point Carbon 4, 2010, 11.

Mizrach, Bruce, Nonlinear Mean Reversion in EMS Exchange Rates, Brussels Economic Review 53, 2010, 187-98.

Mizrach, Bruce, Estimating Implied Probabilities From Option Prices and the Underlying, in Cheng-few Lee and Alice C. Lee (eds.), Handbook of Quantitative Finance and Risk Management, New York: Springer-Verlag, 2010, 515-29.

Mizrach, Bruce and Susan Z. Weerts, Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room, Journal of Economic Behavior and Organization 70, 2009, 266-81.

Mizrach, Bruce and Susan Z. Weerts, Highs and Lows: A Behavioral and Technical Analysis, Applied Financial Economics 19, 2009, 767-77.

Mizrach, Bruce and Chris Neely, The Microstructure of the U.S. Treasury Market, The Encyclopedia of Complexity and System Science, New York: Springer-Verlag, 2009, 9565-77.

Mizrach, Bruce, Introduction to Finance and Econometrics in Complex Systems, The Encyclopedia of Complexity and System Science, New York: Springer-Verlag, 2009, 3388-91.

Korenok, Oleg, Bruce Mizrach, and Stanislav Radchenko, A Note On Demand and Supply Factors In Manufacturing Output Asymmetries, Macroeconomic Dynamics 13, 2009, 263-77.

Mizrach, Bruce, Comment on Modelling Nonlinear Comovements Between Time Series, Journal of Macroeconomics 31, 2009, 212-15.

Goldbaum, David and Bruce Mizrach, Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision, Journal of Economic Dynamics and Control 32, 2008, 3866-76.

Mizrach, Bruce and Filippo Occhino, The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach, Journal of Economics and Business 60, 2008, 485-501.

Mizrach, Bruce, A Video Interview of James Hamilton, Studies in Nonlinear Dynamics & Econometrics 12:2, 2008, Article 1.

Mizrach, Bruce and Chris Neely, Information Shares in the U.S. Treasury Market, Journal of Banking and Finance 32, 2008, 1221-33.

Mizrach, Bruce, Nonlinear Time Series Analysis, in Larry Blume and Steven Durlauf (eds.), The New Palgrave Dictionary of Economics, 2nd ed., London: Palgrave Macmillan, 2008, 4611-16.

Mizrach, Bruce, The Next Tick on Nasdaq, Quantitative Finance 8, 2008, 19-40.

Mizrach, Bruce, Does SIZE Matter: Liquidity Provision by the Nasdaq Anonymous Trading Facility, Competition and Regulation in Network Industries 1 , 2006, 471-85.

Mizrach, Bruce, The Enron Bankruptcy: When Did The Options Market Lose Its Smirk, Review of Quantitative Finance and Accounting 27, 2006, 365-82.

Mizrach, Bruce and Chris Neely, The Transition To Electronic Communication Networks in the Secondary Treasury Market, Federal Reserve Bank of St. Louis Review, 88, 2006, 527-41.

Haas, Markus, Stefan Mittnik, and Bruce Mizrach, Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts, Journal of Financial Stability 2, 2006, 28-54.

Mizrach, Bruce and Susan Z. Weerts, Does The Stock Market Punish Corporate Malfeasance? A Case Study Of Citigroup, Corporate Ownership and Control 4:3, 2006, 154-8.

Mizrach, Bruce, A Video Interview of Buz Brock, Studies in Nonlinear Dynamics & Econometrics 9:1, 2005, Article 1.

Mizrach, Bruce and James Watkins A Markov Switching Cookbook, in Philip Rothman (ed.), Nonlinear Time Series Analysis of Economics and Financial Data, Dordrecht: Kluwer, 1999, 33-43.

Bordo, Michael, Bruce Mizrach, and Anna Schwartz, Real Versus Pseudo International Systemic Risk: Some Lessons From History, Review of Pacific Basin Financial Markets and Policies 1, 1998, 31-58.

Mizrach, Bruce, Determining Delay Times for Phase Space Reconstruction with Application to the FF/DM Exchange Rate, Journal of Economic Behavior and Organization 30, 1996, 301-25.

Mizrach, Bruce, Forecasting Realignments: The Case of the French Franc in the ERM, in W.A. Barnett, A. Kirman and M. Salmon (eds.), Nonlinear Dynamics and Economics, Cambridge: Cambridge U. Press, 1996, 359-66.

Mizrach, Bruce, The Information in the Term Structure: A Nonparametric Investigation, Journal of Forecasting 15, 1996, 137-153.

Mizrach, Bruce, Review of Complex Economic Dynamics Vol. 1: An Introduction to Dynamical Systems and Market Mechanisms, Journal of Economic Literature 33, 1995, 1976-77.

Mizrach, Bruce, Target Zone Models with Stochastic Realignments: An Econometric Evaluation, Journal of International Money and Finance 14, 1995, 641-57.

Devries, Casper, Kees Koedijk, Bruce Mizrach and Philip Stork, New Evidence on the Effectiveness of Foreign Exchange Market Intervention, European Economic Review 39, 1995, 501-8.

Mizrach, Bruce, Review of Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets, Journal of Economic Behavior and Organization 25, 1994, 473-75.

Mizrach, Bruce, Using U-statistics to Detect Business Cycle Nonlinearities, in Willi Semmler (ed.), Business Cycles: Theory and Empirical Investigation, Boston: Kluwer Press, 1994, 107-29.

Mizrach, Bruce, Nonlinear Exchange Rate Modeling, American Statistical Association, 1993 Proceedings of the Business and Economic Statistics Section, 1994, 383-7.

Mizrach, Bruce, Multivariate Nearest-neighbour Forecasts of EMS Exchange Rates, Journal of Applied Econometrics 7 Supplement, 1992, S151-63.

Mittnik, Stefan and Bruce Mizrach, Parametric and Seminonparametric Analysis of Nonlinear Time Series, in Advances in GLIM and Statistical Modeling, L. Fahrmeir, B. Francis, R. Gilchrist and G. Tutz (eds.), New York: Springer-Verlag, 1992, 207-12.

Mayfield, E. Scott and Bruce Mizrach, On Determining the Dimension of Real-Time Stock-Price Data, Journal of Business Economics and Statistics 10, 1992, 367-74.

Mizrach, Bruce, The Distribution of the Theil-U Statistic in Bivariate Normal Populations, Economics Letters 38, 1992, 163-67.

Mizrach, Bruce, The State of Economic Dynamics: A Review Essay, Journal of Economic Dynamics and Control 16, 1992, 175-90.

Klein, Michael, Robert G. Murphy, and Bruce Mizrach, Managing the Dollar: Has the Plaza Agreement Mattered?, Journal of Money, Credit and Banking 23, 1991, 742-51.

Mayfield, E. Scott and Bruce Mizrach, Nonparametric Estimation of the Correlation Exponent, Physical Review A 88 #4, 1991, 5298-5301.

Mizrach, Bruce, Non-Convexities in a Stochastic Control Problem with Learning, Journal of Economic Dynamics and Control 15, 1991, 515-38.

Mizrach, Bruce and Anthony M. Santomero, A Liquidity-in-Advance Model of the Demand for Money Under Price Uncertainty, Journal of Monetary Economics 26, 1990, 143- 59.

Mizrach, Bruce, Non-Convergence to Rational Expectations and Optimal Monetary Policy in Models with Learning in Dynamic Modeling and Control of National Economies 1989. Selected Papers from the 6th IFAC Symposium, Edinburgh, UK, 27-29 June 1989, N. Christodoulakis (ed.), Oxford: Pergamon Press, 1990, 293-98.

Mizrach, Bruce and Anthony M. Santomero, Aggregation, Information, and the Instability of Asset Demands, Studies in Banking and Finance 5, Amsterdam: North Holland, 1988, 369-85.

Mizrach, Bruce and Anthony M. Santomero, The Stability of Money Demand and Forecasting Through Changes in Regime, Review of Economics and Statistics 68, 1986, 324-28.

Code

RATS Code for Mizrach and Watkins, A Markov Switching Cookbook, 1999.

FORTRAN Program for Mizrach, "Forecast Comparison in L2."

FORTRAN Program for Mizrach, "A Simple Nonparametric Test."