Fleming, Michael and Bruce Mizrach, The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform, Revised: March 2008.
Mizrach, Bruce,
Jump and Cojump Risk in Subprime Home Equity Derivatives, February 2008.
Lu, Jie and Bruce Mizrach,
Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room, Revised: February 2008.
Mizrach, Bruce and Susan Z. Weerts,
Highs and Lows: A Behavioral and Technical Analysis, Revised: November 2007.
Mizrach, Bruce,
Analyst Recommendations and Nasdaq Market Making Activity, Revised: December 2005.
Mizrach, Bruce,
A Simple Nonparametric Test for Independence, Revised: January 1995.
The Encyclopedia of Complexity and System Science, Section Editor for Finance and Econometrics, New York: Springer-Verlag, 2008, forthcoming.
Mizrach, Bruce and Susan Z. Weerts,
Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room,
Journal of Economic Behavior and Organization, 2009, forthcoming.
Goldbaum, David and Bruce Mizrach,
Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision,
Journal of Economic Dynamics and Control, 2009, forthcoming.
Mizrach, Bruce,
Recovering Probabilistic Information From Options Prices and the Underlying, in Cheng-few Lee and Alice C. Lee (eds.),
Handbook of Quantitative Finance, New York: Springer-Verlag, 2009, forthcoming.
Mizrach, Bruce, Modelling Nonlinear Comovements Between Time Series: A Comment, Journal of Macroeconomics, 2008, forthcoming.
Mizrach, Bruce and Chris Neely,
The Microstructure of the U.S. Treasury Market,
The Encyclopedia of Complexity and System Science, New York: Springer-Verlag, 2008, forthcoming.
Korenok, Oleg, Bruce Mizrach, and Stanislav Radchenko,
A Note On Demand and Supply Factors In Manufacturing Output Asymmetries, Macroeconomic Dynamics, 2008, forthcoming
Mizrach, Bruce and Filippo Occhino, The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach, Journal of Economics and Business, 2008, forthcoming.
Mizrach, Bruce and Chris Neely,
Information Shares in the U.S. Treasury Market, Journal of Banking and Finance, 2008, forthcoming
Mizrach, Bruce, Learning and ARCH Disturbances in Asset Returns, in Catherine Kyrtsou (ed.), Progress in Financial Markets Research, New York: Nova Science, 2008, 78-94.
Mizrach, Bruce,
Nonlinear Time Series Analysis, in Larry Blume and Steven Durlauf (eds.),
The New Palgrave Dictionary of Economics, 2nd ed., London: Palgrave Macmillan, 2008, 4611-16.
Mizrach, Bruce,
The Next Tick on Nasdaq, Quantitative Finance 8, 2008, 19-40.
Mizrach, Bruce, Nonlinear Mean Reversion in EMS Exchange Rates, Brussels Economic Review, 49:3, 2006.
Mizrach, Bruce, Does SIZE Matter: Liquidity Provision by the Nasdaq Anonymous Trading Facility, Competition and Regulation in Network Industries 1 , 2006, 471-85.
Mizrach, Bruce, The Enron Bankruptcy: When Did The Options Market Lose Its Smirk, Review of Quantitative Finance and Accounting 27, 2006, 365-82.
Mizrach, Bruce and Chris Neely, The Transition To Electronic Communication Networks in the Secondary Treasury Market, Federal Reserve Bank of St. Louis Review, 88, 2006, 527-41.
Haas, Markus, Stefan Mittnik, and Bruce Mizrach,
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts,
Journal of Financial Stability 2, 2006, 28-54.
Mizrach, Bruce and Susan Z. Weerts,
Does The Stock Market Punish Corporate Malfeasance? A Case Study Of Citigroup,
Corporate Ownership and Control 4:3, 2006, 154-8.
Mizrach, Bruce,
A Video Interview of Buz Brock, Studies in Nonlinear Dynamics & Econometrics 9:1, 2005, Article 1.
Mizrach, Bruce and James Watkins A Markov Switching Cookbook, in Philip Rothman (ed.), Nonlinear Time Series Analysis of Economics and Financial Data, Dordrecht: Kluwer, 1999, 33-43.
Bordo, Michael, Bruce Mizrach, and Anna Schwartz,
Real Versus Pseudo International Systemic Risk: Some Lessons From
History, Review of Pacific Basin Financial Markets
and Policies 1, 1998, 31-58.
Mizrach, Bruce,
Determining Delay Times for Phase Space Reconstruction with Application
to the FF/DM Exchange Rate, Journal
of Economic Behavior and Organization 30, 1996, 301-25.
Mizrach, Bruce,
Forecasting Realignments: The Case of the French Franc in the ERM,
in W.A. Barnett, A. Kirman and M. Salmon
(eds.), Nonlinear Dynamics and Economics, Cambridge: Cambridge U.
Press, 1996, 359-66.
Mizrach, Bruce, The Information in the Term Structure: A Nonparametric Investigation, Journal of Forecasting 15, 1996, 137-153.
Mizrach, Bruce, Review of Complex Economic Dynamics Vol. 1: An Introduction to Dynamical Systems and Market Mechanisms, Journal of Economic Literature 33, 1995, 1976-77.
Mizrach, Bruce, Target Zone Models with Stochastic Realignments: An Econometric Evaluation, Journal of International Money and Finance 14, 1995, 641-57.
Devries, Casper, Kees Koedijk, Bruce Mizrach and Philip Stork, New Evidence on the Effectiveness of Foreign Exchange Market Intervention, European Economic Review 39, 1995, 501-8.
Mizrach, Bruce, Review of Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets, Journal of Economic Behavior and Organization 25, 1994, 473-75.
Mizrach, Bruce, Using U-statistics to Detect Business Cycle Nonlinearities, in Willi Semmler (ed.), Business Cycles: Theory and Empirical Investigation, Boston: Kluwer Press, 1994, 107-29.
Mizrach, Bruce, Nonlinear Exchange Rate Modeling, American Statistical Association, 1993 Proceedings of the Business and Economic Statistics Section, 1994, 383-7.
Mizrach, Bruce, Multivariate Nearest-neighbour Forecasts of EMS Exchange Rates, Journal of Applied Econometrics 7 Supplement, 1992, S151-63.
Mittnik, Stefan and Bruce Mizrach, Parametric and Seminonparametric Analysis of Nonlinear Time Series, in Advances in GLIM and Statistical Modeling, L. Fahrmeir, B. Francis, R. Gilchrist and G. Tutz (eds.), New York: Springer-Verlag, 1992, 207-12.
Mayfield, E. Scott and Bruce Mizrach, On Determining the Dimension of Real-Time Stock-Price Data, Journal of Business Economics and Statistics 10, 1992, 367-74.
Mizrach, Bruce, The Distribution of the Theil-U Statistic in Bivariate Normal Populations, Economics Letters 38, 1992, 163-67.
Mizrach, Bruce, The State of Economic Dynamics: A Review Essay, Journal of Economic Dynamics and Control 16, 1992, 175-90.
Klein, Michael, Robert G. Murphy, and Bruce Mizrach, Managing the Dollar: Has the Plaza Agreement Mattered?, Journal of Money, Credit and Banking 23, 1991, 742-51.
Mayfield, E. Scott and Bruce Mizrach, Nonparametric Estimation of the Correlation Exponent, Physical Review A 88 #4, 1991, 5298-5301.
Mizrach, Bruce, Non-Convexities in a Stochastic Control Problem with Learning, Journal of Economic Dynamics and Control 15, 1991, 515-38.
Mizrach, Bruce and Anthony M. Santomero, A Liquidity-in-Advance Model of the Demand for Money Under Price Uncertainty, Journal of Monetary Economics 26, 1990, 143- 59.
Mizrach, Bruce, Non-Convergence to Rational Expectations and Optimal Monetary Policy in Models with Learning in Dynamic Modeling and Control of National Economies 1989. Selected Papers from the 6th IFAC Symposium, Edinburgh, UK, 27-29 June 1989, N. Christodoulakis (ed.), Oxford: Pergamon Press, 1990, 293-98.
Mizrach, Bruce and Anthony M. Santomero, Aggregation, Information, and the Instability of Asset Demands, Studies in Banking and Finance 5, Amsterdam: North Holland, 1988, 369-85.
Mizrach, Bruce and Anthony M. Santomero, The Stability of Money Demand and Forecasting Through Changes in Regime, Review of Economics and Statistics 68, 1986, 324-28.
RATS Code for Mizrach and Watkins, A Markov Switching Cookbook, 1999.
FORTRAN
Program for Mizrach, "Forecast Comparison in L2."
FORTRAN
Program for Mizrach, "A Simple Nonparametric Test."