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Browsing Working Papers by Author "Aggarwal, Nidhi"

Browsing Working Papers by Author "Aggarwal, Nidhi"

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  • The Causal impact of algorithmic trading on market quality 
    Aggarwal, Nidhi; Thomas, Susan (2014-07)
    The causal impact of algorithmic trading on market quality has been difficult to establish due to endogeneity bias. We address this problem by using the introduction of co-location, an exogenous event after which algorithmic ...
  • Do changes in distance-to-default anticipate changes in the credit rating? 
    Aggarwal, Nidhi; Singh, Manish; Thomas, Susan (2012-06-06)
    Distance-to-default (DtD) from the Merton model has been used in the credit risk literature, most successfully as an input into reduced form models for forecasting default. In this paper, we suggest that the change in ...
  • Do futures markets help in price discovery and risk management for commodities in India? 
    Aggarwal, Nidhi; Jain, Sargam; Thomas, Susan (2014-06)
    In 2003, trading of commodity futures shifted from single commodity, regional exchanges to national exchanges that trade multiple commodities. This paper examines price discovery and hedging effectiveness of commodity ...
  • Limits to arbitrage: The Case of single stock futures and spot prices 
    Aggarwal, Nidhi (2015-05)
    Market frictions limit arbitrage, but these frictions affect different stocks differently. Using intraday data on a liquid single stock futures and spot market, we examine the arbitrage efficiency of these two markets. We ...
  • When do stock futures dominate price discovery? 
    Aggarwal, Nidhi; Thomas, Susan (2012-06-04)
    Stock futures offer leveraged positions and are expected to attract informed traders. However, many researchers have found that the information share of the stock futures is surprisingly small; the equity spot market ...

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