Ingrid Lo

Ph.D. in Economics

 

Employment

             Victoria University of Wellington

 

Office Address

School of Economics and Finance, Victoria University of Wellington, PO Box 600, Wellington,

New Zealand

 

Contact Information

Email:

mail@ingridlo.net

 

 

 

 

Research Interests:

¨ market microstructure; information and liquidity in financial markets;

 

¨ modeling asset return dynamics; forecasting using high frequency data

 

¨ empirical asset pricing; foreign exchange markets, fixed income markets

 

 

Publications

“Information Shocks, Liquidity Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market” (with George Jiang and Adrien Verdelhan), Journal of Financial and Quantitative Analysis (forthcoming).

 

“Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market” (with Stephen Sapp), Journal of International Financial Markets, Institutions and Money (forthcoming).

 

“Order Submission: The Choice between Limit and Market Orders” (with Stephen Sapp), Journal of International Money and Finance, 2008.

 

“Portfolio formations can affect asset pricing tests”, Journal of Asset Management, 2004.