Chris Lamoureux's Research Page

• Published Papers



• Unpublished working papers:
  
  
  • ``Coupon Spreads, Repo Specials and Limits to Arbitrage in the 10-Year US Treasury Market'' (with George Theocharides). New (minor) revision posted February 11, 2013. First posted November 30, 2012.
    • Slides.
    
    
    
  • ``Public Information and Stale Limit Orders: The Evidence'' (with Qin Wang). New draft posted February 28, 2013. First posted October 2, 2012.
    
    
  • ``There and Back Again: A Stock's Tale.'' New revision posted March 15, 2013. (First posted June 28, 2012.)
    
    
  • ``Measuring Private Information in a Canonical Specialist Market: A Comparative Study,'' (with Qin Wang). New revision posted May 14, 2013. First posted July 3, 2012.
    
    
  • ``Estimating and Testing Arbitrage Models without Adding an Error Model: An Application to Cox, Ingersoll, and Ross,'' (with Ken Roskelley). New revision posted May 14, 2013. (First posted August 8, 2005.)
    
    
  • ``Costs of Capital and Public Issuance Choice,'' (with Ali Nejadmalayeri). New revision posted September 13, 2011. (This paper replaces an earlier paper entitled, ``Capital Market Conditions and Public Issuance Choice.'')
    
    
  • ``Information in Option Prices and the Underlying Asset Dynamics,'' (with Alex Paseka). New revision posted October 30, 2009. (First posted on June 24, 2004.)
    
    
  • ``Microstructure with Multiple Assets: An Experimental Investigation into Direct and Indirect Dealer Competition'' with Chuck Schnitzlein. (updated March 18, 2003).
    
    
  • ``To Err is Human - But Dealers' Abilities to find non-Dominated Strategies Depends on Market Transparency'' with Chuck Schnitzlein. (updated June 7, 2001).
    
    
  • ``Variations in Stock Returns: Asymmetries and Other Patterns'' with Sunil Panikkath. (May 1994).
  
  
  
• Discussions and Other materials.
  • Slides for my discussion of ``Flow and Stock Effects of Large-Scale Treasury Purchases,'' by Stefania D'Amico and Thomas King. (St. Louis, June 30, 2011).
  
  
  
• Data, Programs and Other Resources.
  • The original data used in my JF paper with Doug Witte (on Bayesian estimation of affine models).
  • F0rtran code used to draw parameters and state variables for that paper.