Khaladdin Rzayev

Senior Lecturer in Finance

[Department for Science, Innovation and Technology @SciTechgovuk]

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[Fariz Huseynli @FarizHseynli1]

I am happy to share that our paper (with @KhaladdinR and Aliyev N.) on Algo trading and its effects on corporate investment behavior has been published in @JCorpFin. It is my first paper connecting microstructure and corporate finance.

https://t.co/KrFkYO4QGO

[Khaladdin Rzayev @KhaladdinR]

In contrast, FX markets have reduced the spread without a corresponding increase in illiquidity episodes.

[Khaladdin Rzayev @KhaladdinR]

Excited to share our new BIS working paper on liquidity resilience! Co-authored with @aquilotto978, Nihad Aliyev, and Sonya Zhu.

Check it out here:

https://t.co/q5wZgvckaG

Key result:

[Khaladdin Rzayev @KhaladdinR]

While the average bid-ask spread has significantly declined across stock, FX and government bond markets over the past 25 years, indicating improved average liquidity, the higher moments of the distribution (skewness and kurtosis) have increased in equity and bond markets.

[Alex Edmans @aedmans]

A really cool GPT to evaluate a paper according to the three criteria (Contribution, Execution, and Exposition) in my "Learning From 1,000 Rejections" essay and provide specific, actionable feedback. Created by Jukka Sihvonen. https://t.co/Eki5fOzDj9

[The Nobel Prize @NobelPrize]

BREAKING NEWS
The Royal Swedish Academy of Sciences has decided to award the 2024 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel to Daron Acemoglu, Simon Johnson and James A. Robinson “for studies of how institutions are formed and affect prosperity.”

#NobelPrize

[Khaladdin Rzayev @KhaladdinR]

Excited to be hosting the Market Microstructure Summer School in Edinburgh, again!

[Khaladdin Rzayev @KhaladdinR]

Great to see this finally in print: https://t.co/uaeMNpJSao

[Khaladdin Rzayev @KhaladdinR]

It's time to celebrate! Our paper has been officially accepted by the Journal of Financial Economics @J_Fin_Economics. The process took just over a year, with most of the time spent on our desk for revisions. Kudos to the editorial and review team for their super-fast process!

[Khaladdin Rzayev @KhaladdinR]

@SatchitSagade Huge thanks to an anonymous reviewer! The paper has improved significantly.

[Khaladdin Rzayev @KhaladdinR]

4. Our results have implications for understanding the information production process in financial markets.

Please feel free to send us your feedback!

[Khaladdin Rzayev @KhaladdinR]

Excited to share our new working paper on high-frequency trading and machine learning, now available! with @gbengaibikunle and Ben Moews

Link to paper:
https://t.co/knCF8hrJMR

Story and key findings:

[SSRN @SSRN]

Can #MachineLearning Unlock New Insights into High-Frequency #Trading?

The authors design & train machine learning models to capture the nonlinear interactions between financial market dynamics & high-frequency trading activity

https://t.co/x3PQtg1LcV

@gbengaibikunle

[Khaladdin Rzayev @KhaladdinR]

3. While liquidity-demanding HFT activities demonstrate a decreasing and convex pattern with market depth, liquidity-supplying HFT activities exhibit an increasing and concave relationship with market depth.

[Alejandro Lopez-Lira @alejandroll10]

My second post is out!

Human-Level Referee Reports Using Claude, Not ChatGPT
How to obtain harsh, helpful referee reports to improve your research; and why large context windows enable a comprehensive understanding of texts.

Link ⬇️

[Khaladdin Rzayev @KhaladdinR]

@mariuszoican @HaskayneSchool @rotmanschool @UTMManagement @IMIUofT Congrats Marius!

[Khaladdin Rzayev @KhaladdinR]

Programme🤩

[Björn Hagströmer 🇺🇦 🇸🇪 @bjornhagstromer]

The https://t.co/zRXAFa9ag6 is back! We start off with Terry Hendershott (Berkeley) on Tuesday, Feb 20. Paper: "Public and Private Information in Quotes and Trades." Exciting season ahead 👇