Ian Domowitz - Academia.edu (original) (raw)

Papers by Ian Domowitz

Research paper thumbnail of Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978

The Journal of Legal Studies, Jun 1, 1999

We ask whether new incentives embedded in a major legal change have their anticipated effect on p... more We ask whether new incentives embedded in a major legal change have their anticipated effect on personal bankruptcy chapter choice. The evidence is based on data at the level of the household shortly before and after enactment of the Bankruptcy Reform Act of 1978. Structural chapter choice models predict a substantial portion of the increase in the proportion of reorganizational

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Research paper thumbnail of A Taxonomy of Automated Trade Execution Systems

IMF working paper, 1992

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Research paper thumbnail of Social Media Sentiment and the FX Market

Journal of Trading, Jun 30, 2017

This is a study of the effect of social media sentiment on pricing and trading fundamentals in th... more This is a study of the effect of social media sentiment on pricing and trading fundamentals in the foreign exchange market, with a focus on examining the predictability of prices, the cost and depth of liquidity, and the topography of the global limit order book for a currency pair. Standalone forecasting exercises are combined with event studies to reach conclusions. There is some promise in price forecasting results, but work remains to be done in terms of strategy and hedging applications. Results with respect to FX market structure are less encouraging, with the possible exception of a tight correlation between sentiment and the cost of liquidity.

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Research paper thumbnail of Trading Patterns, Liquidity, and the Citigroup Split

Journal of Trading, Sep 30, 2011

... 6, No. 4: pp. 18-33 DOI: 10.3905/jot.2011.6.4.018. Trading Patterns, Liquidity, and the Citig... more ... 6, No. 4: pp. 18-33 DOI: 10.3905/jot.2011.6.4.018. Trading Patterns, Liquidity, and the Citigroup Split. Milan Borkovec, Ian Domowitz, and Konstantin Tyurin. ... At the $3 million mark, the cost in basis points is about the same as the presplit cost estimate. ...

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Research paper thumbnail of Alternative Trading Systems in Europe: TradingPerformance by European Venues Post-MiFID,2010 Update

Journal of Trading, Mar 31, 2011

The authors examine the execution efficiency of European trading venues following the implementat... more The authors examine the execution efficiency of European trading venues following the implementation of the Markets in Financial Instruments Directive (MiFID). The current study updates and complements previous work based on 2009 data by using information from the first ten months of 2010. They focus on transactions costs incurred by investors across primary markets, displayed multilateral trading facilities (MTFs), and dark pools. Dark pools continue to add significant value relative to primary markets and MTFs. Transaction costs in dark pools are 13% lower than those of regulated primary markets and 18% lower relative to those of displayed MTFs. MTFs exhibit average costs that are 5% higher than those of primary markets, reversing a finding from 2009. This result is largely due to improvements in trading costs at the primary exchanges over the past year. Primary exchanges appear increasingly efficient in the face of the growth in dark pool activity, which also has not harmed the performance of alternative displayed markets. Finally, aggregate dark pool results disguise significant performance differences between them, with new entrants and pools operated by displayed MTFs displaying the worst performance.

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Research paper thumbnail of On the Road to Reg ATS: A Critical History of the Regulation of Automated Trading Systems

International Finance, Jul 7, 2001

Automation of the trade execution process transforms the industrial structure of the trading serv... more Automation of the trade execution process transforms the industrial structure of the trading services industry, changing the context within which trade execution services are regulated. We provide a short history of the US equity market experience as a case study of regulatory reaction and accommodation to new trading technology. Past and current approaches to the regulation of automated trading systems are described. Issues are identified that are common to a variety of international jurisdictions and to trading in financial instruments other than common stocks. The analysis emphasizes the use of the definition of an ‘exchange’ for the purpose of classification and regulation of automated trading systems. The main theme, however, is regulation of market structure, defined as comprising the rules and institutions that determine competition between trading platforms.

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Research paper thumbnail of Automating the price discovery process: Some international comparisons and regulatory implications

Journal of Financial Services Research, 1993

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Research paper thumbnail of A model of commercial energy demand

Energy, Dec 1, 1981

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Research paper thumbnail of New Directions in Non-Linear Estimation with Dependent Observations

Canadian Journal of Economics, Feb 1, 1985

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Research paper thumbnail of Asset Substitution, Money Demand, and the Inflation Process in Brazil

Journal of Money, Credit and Banking, Feb 1, 1989

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Research paper thumbnail of Thinking one step ahead: The use of conjectures in competitor analysis

Strategic Management Journal, Sep 1, 1988

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Research paper thumbnail of Liquidity commonality and return co-movement

Journal of Financial Markets, Nov 1, 2005

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Research paper thumbnail of The Intertemporal Stability of the Concentration-Margins Relationship

Journal of Industrial Economics, Sep 1, 1986

... 1 THE INTERTEMPORAL STABILITY OF THE CONCENTRATION-MARGINS RELATIONSHIP IAN DOMOWITZ, R. GLEN... more ... 1 THE INTERTEMPORAL STABILITY OF THE CONCENTRATION-MARGINS RELATIONSHIP IAN DOMOWITZ, R. GLENN HUBBARD AND BRUCE C. PETERSEN* ... Page 6. 18 IAN DOMOWITZ, R. GLENN HUBBARD AND BRUCE C. PETERSEN ...

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Research paper thumbnail of Trading Patterns and Prices in the Interbank Foreign Exchange Market

Journal of Finance, Sep 1, 1993

ABSTRACTThe behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded ... more ABSTRACTThe behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded deutsche mark‐dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid‐ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.

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Research paper thumbnail of Liquidity-Corrected Variance Ratios and the Effect of Foreign Equity Ownership on Information in an Emerging Market

RePEc: Research Papers in Economics, 1997

ABSTRACT We ask whether foreign equity ownership affects the stability of information signals tha... more ABSTRACT We ask whether foreign equity ownership affects the stability of information signals that are absorbed into prices in an emerging economy. We address both the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership through cross-listing. A methodology for variance ratio analysis is introduced that isolates information effects, correcting for liquidity and volume differences across stock series experiencing different degrees of foreign ownership. We find that foreign ownership does not affect the volatility of information in the absence of cross-listing. Foreign ownership introduced or accompanied by cross-listing of a stock series raises the variance of returns. This effect is found to operate in part through increases in volume traded on the domestic market following the listing, but also includes an independently identifiable increase in the volatility of information.

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Research paper thumbnail of Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets

RePEc: Research Papers in Economics, 1991

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Research paper thumbnail of Regulation Going Forward

Springer eBooks, Jun 8, 2012

HAROLD BRADLEY: I work at a foundation in Kansas City, Missouri. Before my present assignment, I ... more HAROLD BRADLEY: I work at a foundation in Kansas City, Missouri. Before my present assignment, I spent 20 years in the same town with a mutual fund company, American Century. At American Century, I ran trading operations for a decade and then investment management. I was probably one of the first buy-siders to wholeheartedly believed that electronic trading had a very bright future. As I look around this room and at the markets over the past two decades, I am reminded of the electronic trading pioneer Steve Wunsch who is sitting in the audience today. Steve launched the Arizona Stock Exchange, one of the first truly alternative trading mechanisms for block trading. At American Century, I would try the Arizona after the market close. But as I took other steps, I would run into conventions that I would call, dare I say it, New York Stock Exchange plaque! Yes, there was a lot of regulatory plaque that really impeded progress!

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Research paper thumbnail of Using Weighted Nonlinear Least Squares to Estimate Fish Population Dynamics Models

RePEc: Research Papers in Economics, Oct 1, 1982

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Research paper thumbnail of An Exchange Is a Many-Splendored Thing: The Classification and Regulation of Automated Trading Systems

RePEc: Research Papers in Economics, 1996

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Research paper thumbnail of The Linear Model With Stochastic Regressors and Heteroscedastic Dependent Errors

RePEc: Research Papers in Economics, Dec 1, 1982

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Research paper thumbnail of Incentives and Bankruptcy Chapter Choice: Evidence from the Reform Act of 1978

The Journal of Legal Studies, Jun 1, 1999

We ask whether new incentives embedded in a major legal change have their anticipated effect on p... more We ask whether new incentives embedded in a major legal change have their anticipated effect on personal bankruptcy chapter choice. The evidence is based on data at the level of the household shortly before and after enactment of the Bankruptcy Reform Act of 1978. Structural chapter choice models predict a substantial portion of the increase in the proportion of reorganizational

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Research paper thumbnail of A Taxonomy of Automated Trade Execution Systems

IMF working paper, 1992

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Research paper thumbnail of Social Media Sentiment and the FX Market

Journal of Trading, Jun 30, 2017

This is a study of the effect of social media sentiment on pricing and trading fundamentals in th... more This is a study of the effect of social media sentiment on pricing and trading fundamentals in the foreign exchange market, with a focus on examining the predictability of prices, the cost and depth of liquidity, and the topography of the global limit order book for a currency pair. Standalone forecasting exercises are combined with event studies to reach conclusions. There is some promise in price forecasting results, but work remains to be done in terms of strategy and hedging applications. Results with respect to FX market structure are less encouraging, with the possible exception of a tight correlation between sentiment and the cost of liquidity.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Trading Patterns, Liquidity, and the Citigroup Split

Journal of Trading, Sep 30, 2011

... 6, No. 4: pp. 18-33 DOI: 10.3905/jot.2011.6.4.018. Trading Patterns, Liquidity, and the Citig... more ... 6, No. 4: pp. 18-33 DOI: 10.3905/jot.2011.6.4.018. Trading Patterns, Liquidity, and the Citigroup Split. Milan Borkovec, Ian Domowitz, and Konstantin Tyurin. ... At the $3 million mark, the cost in basis points is about the same as the presplit cost estimate. ...

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Research paper thumbnail of Alternative Trading Systems in Europe: TradingPerformance by European Venues Post-MiFID,2010 Update

Journal of Trading, Mar 31, 2011

The authors examine the execution efficiency of European trading venues following the implementat... more The authors examine the execution efficiency of European trading venues following the implementation of the Markets in Financial Instruments Directive (MiFID). The current study updates and complements previous work based on 2009 data by using information from the first ten months of 2010. They focus on transactions costs incurred by investors across primary markets, displayed multilateral trading facilities (MTFs), and dark pools. Dark pools continue to add significant value relative to primary markets and MTFs. Transaction costs in dark pools are 13% lower than those of regulated primary markets and 18% lower relative to those of displayed MTFs. MTFs exhibit average costs that are 5% higher than those of primary markets, reversing a finding from 2009. This result is largely due to improvements in trading costs at the primary exchanges over the past year. Primary exchanges appear increasingly efficient in the face of the growth in dark pool activity, which also has not harmed the performance of alternative displayed markets. Finally, aggregate dark pool results disguise significant performance differences between them, with new entrants and pools operated by displayed MTFs displaying the worst performance.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of On the Road to Reg ATS: A Critical History of the Regulation of Automated Trading Systems

International Finance, Jul 7, 2001

Automation of the trade execution process transforms the industrial structure of the trading serv... more Automation of the trade execution process transforms the industrial structure of the trading services industry, changing the context within which trade execution services are regulated. We provide a short history of the US equity market experience as a case study of regulatory reaction and accommodation to new trading technology. Past and current approaches to the regulation of automated trading systems are described. Issues are identified that are common to a variety of international jurisdictions and to trading in financial instruments other than common stocks. The analysis emphasizes the use of the definition of an ‘exchange’ for the purpose of classification and regulation of automated trading systems. The main theme, however, is regulation of market structure, defined as comprising the rules and institutions that determine competition between trading platforms.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Automating the price discovery process: Some international comparisons and regulatory implications

Journal of Financial Services Research, 1993

Bookmarks Related papers MentionsView impact

Research paper thumbnail of A model of commercial energy demand

Energy, Dec 1, 1981

Bookmarks Related papers MentionsView impact

Research paper thumbnail of New Directions in Non-Linear Estimation with Dependent Observations

Canadian Journal of Economics, Feb 1, 1985

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Asset Substitution, Money Demand, and the Inflation Process in Brazil

Journal of Money, Credit and Banking, Feb 1, 1989

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Thinking one step ahead: The use of conjectures in competitor analysis

Strategic Management Journal, Sep 1, 1988

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Liquidity commonality and return co-movement

Journal of Financial Markets, Nov 1, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Intertemporal Stability of the Concentration-Margins Relationship

Journal of Industrial Economics, Sep 1, 1986

... 1 THE INTERTEMPORAL STABILITY OF THE CONCENTRATION-MARGINS RELATIONSHIP IAN DOMOWITZ, R. GLEN... more ... 1 THE INTERTEMPORAL STABILITY OF THE CONCENTRATION-MARGINS RELATIONSHIP IAN DOMOWITZ, R. GLENN HUBBARD AND BRUCE C. PETERSEN* ... Page 6. 18 IAN DOMOWITZ, R. GLENN HUBBARD AND BRUCE C. PETERSEN ...

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Research paper thumbnail of Trading Patterns and Prices in the Interbank Foreign Exchange Market

Journal of Finance, Sep 1, 1993

ABSTRACTThe behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded ... more ABSTRACTThe behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded deutsche mark‐dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid‐ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Liquidity-Corrected Variance Ratios and the Effect of Foreign Equity Ownership on Information in an Emerging Market

RePEc: Research Papers in Economics, 1997

ABSTRACT We ask whether foreign equity ownership affects the stability of information signals tha... more ABSTRACT We ask whether foreign equity ownership affects the stability of information signals that are absorbed into prices in an emerging economy. We address both the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership through cross-listing. A methodology for variance ratio analysis is introduced that isolates information effects, correcting for liquidity and volume differences across stock series experiencing different degrees of foreign ownership. We find that foreign ownership does not affect the volatility of information in the absence of cross-listing. Foreign ownership introduced or accompanied by cross-listing of a stock series raises the variance of returns. This effect is found to operate in part through increases in volume traded on the domestic market following the listing, but also includes an independently identifiable increase in the volatility of information.

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Research paper thumbnail of Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets

RePEc: Research Papers in Economics, 1991

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Regulation Going Forward

Springer eBooks, Jun 8, 2012

HAROLD BRADLEY: I work at a foundation in Kansas City, Missouri. Before my present assignment, I ... more HAROLD BRADLEY: I work at a foundation in Kansas City, Missouri. Before my present assignment, I spent 20 years in the same town with a mutual fund company, American Century. At American Century, I ran trading operations for a decade and then investment management. I was probably one of the first buy-siders to wholeheartedly believed that electronic trading had a very bright future. As I look around this room and at the markets over the past two decades, I am reminded of the electronic trading pioneer Steve Wunsch who is sitting in the audience today. Steve launched the Arizona Stock Exchange, one of the first truly alternative trading mechanisms for block trading. At American Century, I would try the Arizona after the market close. But as I took other steps, I would run into conventions that I would call, dare I say it, New York Stock Exchange plaque! Yes, there was a lot of regulatory plaque that really impeded progress!

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Using Weighted Nonlinear Least Squares to Estimate Fish Population Dynamics Models

RePEc: Research Papers in Economics, Oct 1, 1982

Bookmarks Related papers MentionsView impact

Research paper thumbnail of An Exchange Is a Many-Splendored Thing: The Classification and Regulation of Automated Trading Systems

RePEc: Research Papers in Economics, 1996

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Linear Model With Stochastic Regressors and Heteroscedastic Dependent Errors

RePEc: Research Papers in Economics, Dec 1, 1982

Bookmarks Related papers MentionsView impact