Dr Richard Philip
Richard’s research focuses on securities trading and the structure of financial markets. Richard’s current research focuses on high frequency trading, permanent price impact and the information content of the limit order book. Richard also focuses on financial econometrics and the application of machine learning to financial problems. Richard’s research has been published in leading academic journals such as the Journal of Econometrics.
Richard Philip’s primary research interest is in market microstructure. Richard’s current research focuses on high-frequency trading, which is under intense scrutiny following the publication of Michael Lewis’ New York Times Best Seller ‘Flash Boys’, claiming that fast traders, who have a speed advantage, are preying on slower, longer-term investors.
- FINC3019 Fixed Income Securities
- FINC5001 Capital Markets and Corporate Finance
- FINC6014 Fixed Income Securities
- FINC6017 Mergers and Acquisitions
| Project title | Research student |
|---|---|
| Interactions of algorithmic traders across centralised cryptocurrency exchanges | Alexander RICHTER |
Publications
Journals
- Bouffler, L., Kwan, A., Liang, L., Philip, R. (2023). Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program. Financial Review, 58(1), 5-18. [More Information]
- Malloch, H., Philip, R., Satchell, S. (2023). Estimation with Errors in Variables via the Characteristic Function. Journal of Financial Econometrics, 21(3), 616-650. [More Information]
- Goldstein, M., Kwan, A., Philip, R. (2023). High-Frequency Trading Strategies. Management Science, 69(8), 4413-4434. [More Information]
2023
- Bouffler, L., Kwan, A., Liang, L., Philip, R. (2023). Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program. Financial Review, 58(1), 5-18. [More Information]
- Malloch, H., Philip, R., Satchell, S. (2023). Estimation with Errors in Variables via the Characteristic Function. Journal of Financial Econometrics, 21(3), 616-650. [More Information]
- Goldstein, M., Kwan, A., Philip, R. (2023). High-Frequency Trading Strategies. Management Science, 69(8), 4413-4434. [More Information]
2022
- Foley, S., Kwan, A., Philip, R., Ødegaard, B. (2022). Contagious margin calls: How COVID-19 threatened global stock market liquidity. Journal of Financial Markets, 59, 100689. [More Information]
2020
- Philip, R. (2020). Estimating permanent price impact via machine learning. Journal of Econometrics, 215(2), 414-449. [More Information]
2017
- Foley, S., Kwan, A., McInish, T., Philip, R. (2017). Reprint of Director discretion and insider trading profitability. Pacific-Basin Finance Journal, 45, 52-67. [More Information]
Selected Grants
2014
- Measuring market quality: current limitations and new metrics., Partington G, Satchell S, Philip R, Kwan A, Centre for International Finance and Regulation/Research Support