People
Profile
Research
Market Microstructure
Empirical Asset Pricing
Behavioural Finance
Publications
Bleaney, M. and Li, Z., 2015. The performance of bid-ask spread estimators under less than ideal conditions. Studies in Economics and Finance,32(1), pp98-127.
Bleaney, M. and Li, Z., 2016. Decomposing the bid–ask spread in multi‐dealer markets. International Journal of Finance & Economics, 21(1), pp.75-89.
Bleaney, M. and Li, Z., 2016. A new spread estimator. Review of Quantitative Finance and Accounting, 47(1), pp.179-211.
Bleaney, M., Bougheas, S. and Li, Z., 2017. Do psychological fallacies influence trading in financial markets? Evidence from the foreign exchange market. Journal of Behavioral Finance, 18(3), pp.344-357.
Li, Z., Lambe, B. and Adegbite, E., 2018. New bid-ask spread estimators from daily high and low prices. International Review of Financial Analysis, 60, pp.69-86.
Lambe, B., Li, Z. and Qin, W., 2022. Uncertain times and the insider perspective. International Review of Financial Analysis, forthcoming
Supervision
Teaching
EC2022 Principle of Finance (UG year 2)
MN2137 Financial Markets Products: Futures and Forwards (seminar UG year 2)
MN3101 Dissertation (UG year 3)
EC3064 Applied Econometrics Project (UG year 3)
EC7110 Dissertation (PG)