Papers, Publications, and Talks
2010
- Large Traders and Liquidity in Futures Markets
- Job-Market Paper
- The Limits of Anonymity: Identifying Large Block Trades in Real-Time
- Thesis Chapter - In Progress
- Optimal Price Support for Large Traders
- Thesis Chapter - In Progress
- An Introduction to Textual Econometrics
- Stephen Fagan and Ramazan Gencay, to appear in The Handbook of Empirical Economics and Finance edited by Aman Ullah
and David Giles, CRC Press / Taylor & Francis, 2010
- Health Care Decision Making and Media Coverage: The Case of Influenza Vaccination
- Stephen Fagan and Ramazan Gencay - Under Review
2009
- Testing for Jump Arrivals in Financial Time Series
- Yi Xue, Stephen Fagan, and Ramazan Gencay - Under Review
- Liquidity-Dynamics in Futures Markets
- Presentation at the Quantitative Finance Workshop on Financial Crises, Market Microstructure and Asset Pricing, The
Rimini Centre for Economic Analysis, Rimini, Italy, May 22. An early version of Large Traders and Liquidity in Futures
Markets.
2002
- The Deontology of Inference
- Stephen Fagan, Ray Jennings and Martin Allen.
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