Richard Payne

Payne works in the areas of empirical market microstructure and empirical asset pricing. He has written on topics that include the determination of exchange rates, the links between exchange rates and equity index returns, algorithmic trading and market dynamics, the effects of transparency in equity markets and the effects of short selling on equity markets.

Payne holds a PhD in Economics from the London School of Economics and has worked at the LSE, the University of Bristol and Warwick Business School. He has also worked in the asset management industry and actively consults for banks, funds, regulators and government departments.

Qualifications

• PhD in Economics, London School of Economics and Political Science, London, United Kingdom
• MSc in Econometrics and Mathematical Economics, London School of Economics and Political Science, London, United Kingdom
• BSc in Economics, University of Bristol, Bristol, United Kingdom

Employment

• Professor of Finance, City University London, London, May 2012 – present
• Reader in Finance, City University London, London, Sep 2010 – Apr 2012
• Associate Professor in Finance, University of Warwick, Jan 2009 – Sep 2010
• Professor of Finance, University of Bristol, Oct 2005 – Dec 2008
• Lecturer in Finance, London School of Economics and Political Science, London, Oct 1998 – Jun 2003

Memberships of Professional Organisations

European Finance Association, Sep 2009 – present

Expertise

Primary Topics

• Asset Pricing
• Financial Econometrics
• Financial Markets
• International Finance

Additional Topics

• Capital Markets
• Hedge Funds
• Investment Banking

Industries/Professions

• financial services
• investment banking

• Geographic Areas

• Americas - North

• Europe

Research Topics

• Equity market microstructure and trading
• Exchange rate determination and FX market microstructure
• Short-selling
• Computer-based trading and market quality

Book

Goodhart, C. and Payne, R. (2000). The Foreign Exchange Market: Empirical Studies with High-Frequency Data. Palgrave Macmillan. ISBN 978-0-333-63083-9.

Chapters (4)

• Daníelsson, J., Luob, J. and Payne, R. (2016). Exchange rate determination and inter-market order flow effects. High Frequency Trading and Limit Order Book Dynamics (pp. 91–108). ISBN 978-1-317-57076-9.
• Daníelsson, J. and Payne, R. (2016). Liquidity determination in an order-driven market. High Frequency Trading and Limit Order Book Dynamics (pp. 67–89). ISBN 978-1-317-57076-9.
• Payne, R. (2003). Trading Activity, Volatility and Transactions Costs in Spot FX Markets. In Paul Mizen, (Ed.), Monetary history, exchange rates and financial markets: essays in honour of Charles Goodhart (pp. 180–196). Edward Elgar Publishing.
• Goodhart, C., Ito, T. and Payne, R. (1996). One Day in June 1993: a Study of the Workings of the Reuters' 2000-2 Electronic Foreign Exchange Trading System. In Frankel, J., Galli, G. and Giovannini, A. (Eds.), The microstructure of foreign exchange markets University of Chicago Press.

Journal Articles (23)

• Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates? Review of Finance, 20(3), pp. 1045–1080. doi:10.1093/rof/rfv032.
• Friederich, S. and Payne, R. (2015). Order-to-trade ratios and market liquidity. Journal of Banking and Finance, 50, pp. 214–223. doi:10.1016/j.jbankfin.2014.10.005.
• Friederich, S. and Payne, R. (2014). Trading anonymity and order anticipation. Journal of Financial Markets, 21(November), pp. 1–24. doi:10.1016/j.finmar.2014.07.002.
• Clare, A., Motson, N.E., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees? SSRN .
• Daníelsson, J., Luo, J. and Payne, R. (2012). Exchange rate determination and inter-market order flow effects. European Journal of Finance, 18(9), pp. 823–840. doi:10.1080/1351847X.2011.601655.
• Daníelsson, J. and Payne, R. (2012). Liquidity determination in an order-driven market. The European Journal of Finance, 18(9), pp. 799–821. doi:10.1080/1351847X.2011.601654.
• Marsh, I.W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance, 36(7), pp. 1975–1986. doi:10.1016/j.jbankfin.2012.03.005.
• Moore, M.J. and Payne, R. (2011). On the sources of private information in FX markets. Journal of Banking and Finance, 35(5), pp. 1250–1262. doi:10.1016/j.jbankfin.2010.10.013.
• Danielsson, J., Luo, J. and Payne, R. (2011). Explaining and Forecasting Exchange Rates. European Journal of Finance .
• Danielsson, J. and Payne, R. (2011). Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2. European Journal of Finance .
• Moore, M. and Payne, R. (2011). On the existence of private information in FX markets. Journal of Banking and Finance, 35, pp. 1250–1262.
• Love, R. and Payne, R. (2008). Macroeconomic News, Order Flows, and Exchange Rates. Journal of Financial and Quantitative Analysis, 43(02), pp. 467–467. doi:10.1017/S0022109000003598.
• Friederich, S. and Payne, R. (2007). Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange. The Economic Journal, 117(522), pp. 1168–1191. doi:10.1111/j.1468-0297.2007.02071.x.
• Payne, R. and Vitale, P. (2003). A transaction level study of the effects of central bank intervention on exchange rates. Journal of International Economics, 61(2), pp. 331–352. doi:10.1016/S0022-1996(03)00012-6.
• Payne, R. (2003). Informed trade in spot foreign exchange markets: an empirical investigation. Journal of International Economics, 61(2), pp. 307–329. doi:10.1016/S0022-1996(03)00003-5.
• Goodhart, C., Love, R., Payne, R. and Rime, D. (2002). Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets. Economic Policy, 17(35), pp. 535–552. doi:10.1111/1468-0327.00096.
• Danı́elsson, J. and Payne, R. (2002). Real trading patterns and prices in spot foreign exchange markets. Journal of International Money and Finance, 21(2), pp. 203–222. doi:10.1016/S0261-5606(01)00043-2.
• Almeida, A., Goodhart, C. and Payne, R. (1998). The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior. The Journal of Financial and Quantitative Analysis, 33(3), pp. 383–383. doi:10.2307/2331101.
• Goodhart, C., Chang, Y. and Payne, R. (1997). Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes. Journal of International Money and Finance, 16(6), pp. 921–930. doi:10.1016/S0261-5606(97)00013-2.
• Curcio, R., Goodhart, C., Guillaume, D. and Payne, R. (1997). Do technical trading rules generate profits? Conclusions from the intra-day foreign exchange market. International Journal of Finance & Economics, 2(4), pp. 267–280. doi:10.1002/(SICI)1099-1158(199710)2:43.0.CO;2-J.
• Henry, M. and Payne, R. (1997). An Investigation of Long Range Dependence in Intra-day Foreign Exchange Rate Volatility. LSE Financial Markets Group Discussion Paper Series, 264 .
• Goodhart, C.A.E. and Payne, R.G. (1996). Microstructural dynamics in a foreign exchange electronic broking system. Journal of International Money and Finance, 15(6), pp. 829–852. doi:10.1016/S0261-5606(96)00044-7.
• Payne, R. (1996). Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market. LSE Financial Markets Group Discussion Paper Series, 238

Course Directorship

• 2010 - present, MSc in Finance, Director

Subject/Academic Leadership

Acted on various recruitment panels.