Angelo Ranaldo
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Prof. Dr.
Last Name
Ranaldo
First name
Angelo
Email
angelo.ranaldo@unisg.ch
Phone
+41 71 224 7010
Homepage
RePec
http://ideas.repec.org/e/pra161.html
SSRN
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421

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  • Publication
    Understanding FX Liquidity
    (Oxford University Press, 2015-11)
    Karnaukh, Nina
    ;
    Ranaldo, Angelo
    ;
    Söderlind, Paul
    We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses.
    Type: journal article
    Journal: Review of Financial Studies
    Volume: 28
    Issue: 11
    DOI: 10.1093/rfs/hhv029
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/105776
    Scopus© Citations 83
  • Publication
    Precious Metals Under the Microscope: A High-Frequency Analysis
    (Routledge, 2014-07-08)
    Caporin, Massimiliano
    ;
    Ranaldo, Angelo
    ;
    Velo, Gabriel G.
    Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold (platinum) is the most (least) liquid and less (most) volatile asset. Commonality in liquidities of precious metals is very strong.
    Type: journal article
    Journal: Quantitative Finance
    Volume: 15
    Issue: 5
    DOI: 10.1080/14697688.2014.947313
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/86651
    Scopus© Citations 14
  • Publication
    Unsecured and Secured Funding
    ( 2017-06-10)
    Di Filipo, Mario
    ;
    Ranaldo, Angelo
    ;
    Wrampelmeyer, Jan
    We provide the first joint analysis of the secured and unsecured money markets of the euro area using bank-level data. After the Lehman crisis, two important substitution mechanisms emerge: banks with higher credit risk offset reductions of unsecured borrowing with secured funding. Riskier banks replace unsecured lending by granting more secured loans. However, high leverage and reliance on short-term funding hamper banks' ability to substitute. Moreover, banks enduring money market strains contribute to the credit crunch. Overall, our findings suggest that the secured segment of the euro money market contributes to financial stability, mitigating systemic effects such as short-term funding strains and contagion.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102276
  • Publication
    Understanding FX Liquidity
    ( 2015-01-04)
    Karnaukh, Nina
    ;
    Ranaldo, Angelo
    ;
    Söderlind, Paul
    Previous studies of liquidity in the foreign exchange (FX) market span short time periods or focus on specific measures of liquidity. In contrast, we provide the first comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. We show that FX liquidity deteriorates with risk in FX, stock, bond, and money markets, and it comoves with liquidity in bond and stock markets. We also show that commonality in FX liquidities increases in distressed markets and it is stronger for countries with high-quality institutions, financial integration, and price stability.
    Type: conference paper
    URL: https://editorialexpress.com/cgi-bin/conference/download.cgi?paper_id=270&db_name=AFA2015
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/106827
  • Publication
    Understanding FX liquidity
    ( 2013-12-17)
    Karnaukh, Nina
    ;
    Ranaldo, Angelo
    ;
    Söderlind, Paul
    Previous studies of liquidity in the foreign exchange (FX) market span short time periods or focus on specific measures of liquidity. In contrast, we provide a comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. After identifying the most accurate liquidity proxies based on low-frequency and readily available data, we show that commonality in FX liquidities is stronger for developed currencies and in highly volatile markets. We also show that FX liquidity deteriorates with risk in stock, bond and FX markets, and that riskier currencies are more exposed to liquidity drops.
    Type: presentation
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/88298
  • Publication
    Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal
    (SoF HSG, 2018-02-16)
    Breedon, Francis
    ;
    Chen, Louisa
    ;
    Ranaldo, Angelo
    ;
    Vause, Nicholas
    A key issue raised by the rapid growth of computerised algorithmic trading is how it responds in extreme situations. Using data on foreign exchange orders and transactions that includes identification of algorithmic trading, we find that this type of trading contributed to the deterioration of market quality following the removal of the cap on the Swiss franc on 15 January 2015, which was an event that came as a complete surprise to market participants. In particular, we find that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while human traders did the opposite. However, we find no evidence that algorithmic trading propagated these adverse effects on market quality to other currency pairs.
    Type: working paper
    Volume: 2018
    Issue: 08
    URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3126136##
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/100752
  • Publication
    Understanding FX Liquidity
    (SoF Working Paper Series, 2014)
    Karnaukh, Nina
    ;
    Ranaldo, Angelo
    ;
    Söderlind, Paul
    We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses.
    Type: working paper
    Issue: 2013/15
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/87829