Meet the Economists
Tugkan Tuzun
tugkan.tuzun@frb.gov
Education
- Ph.D., Finance, University of Maryland, 2011
- M.A., Economics, University of Virginia, 2006
- B.A., Economics, Bogazici University, 2004
- ETFs, High Frequency Trading and Market Liquidity
- Institutional Asset Management
Economist
Board of Governors of the Federal Reserve System
2011 - presentResearch Associate
U.S. Commodity Futures Trading Commission
2010 - 2011
- Kirilenko, Andrei, Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun (2018). "Automation, Intermediation and the Flash Crash," Journal of Investment Management, vol. 16, no. 4, pp. 17-28.
- Kirilenko, Andrei, Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun (2017). "The Flash Crash: High Frequency Trading in an Electronic Market," Journal of Finance, vol. 72, no. 3, pp. 967–998.
- Mixon, Scott, and Tugkan Tuzun (2018). "Price Pressure and Price Discovery in the Term Structure of Interest Rates," Finance and Economics Discussion Series 2018-065. Board of Governors of the Federal Reserve System (U.S.).
- Onur, Esen, John S. Roberts, and Tugkan Tuzun (2017). "Trader Positions and Marketwide Liquidity Demand," Finance and Economics Discussion Series 2017-103. Board of Governors of the Federal Reserve System (U.S.).
- Tuzun, Tugkan (2013). "Are Leveraged and Inverse ETFs the New Portfolio Insurers?" Finance and Economics Discussion Series 2013-48. Board of Governors of the Federal Reserve System (U.S.).
- Aramonte, Sirio, Cecilia Caglio, and Tugkan Tuzun (2017). "Synthetic ETFs," FEDS Notes 2017-08-10. Board of Governors of the Federal Reserve System (U.S.).
- Kyle, Albert S., Anna A. Obizhaeva, and Tugkan Tuzun (2016). "Microstructure Invariance in U.S. Stock Market Trades," Finance and Economics Discussion Series 2016-034. Board of Governors of the Federal Reserve System (U.S.).
- Kyle, Albert S., Anna A. Obizhaeva, Nitish Ranjan Sinha, and Tugkan Tuzun (2017). "News Articles and Equity Trading," CEFIR / NES Working Paper, no. 233. Centre for Economic and Financial Research at New Economic School.
- Kyle, Albert Sidney, Anna A. Obizhaeva, Nitish Ranjan Sinha, and Tugkan Tuzun (2012). "News Articles and the Invariance Hypothesis," AFA 2012 Chicago Meetings Paper, Midwest Finance Association 2012 Annual Meetings Paper.
conference
August 2019European Finance Association Annual Meeting
Do ETFs Increase Liquidity?
conference
September 2018Northern Finance Association Annual Meeting
Do ETFs Increase Liquidity?
conference
June 2019FMA Europe
Price Pressure and Price Discovery in the Term Structure of Interest Rates
conference
August 20182nd SAFE Market Microstructure Conference
Do ETFs Increase Liquidity?
conference
June 2011Western Finance Association
Trading Game Invariance in the TAQ Dataset
conference
December 2010NBER Market Microstructure Meeting
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
conference
January 2012American Finance Association Meeting
News Articles and the Invariance Hypothesis
conference
December 2014Paris December Finance Meeting
Are Leveraged and Inverse ETFs the New Portfolio Insurers?
Awards
- 2019
FMA Europe
Best Paper in Investments and Asset Pricing
- 2019
Journal of Investment Management
Harry M. Markowitz Special Distinction Award
- 2011
Q Group
Roger F. Murray First Prize
- 2012
FMA Europe
Best Paper
Conference Organization
2016 | Atlanta
Midwest Finance Conference
Paper Reviewer
Referee
- Journal of Finance
- Management Science
- Journal of Financial Markets
- Journal of Banking and Finance
- Journal of Futures Markets
- Journal of Financial Services Research
- Financial Review
- Iktisat ve Isletme
