Browsing Working Papers by Author "Aggarwal, Nidhi"

Browsing Working Papers by Author "Aggarwal, Nidhi"

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  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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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