University of Basel

Faculty of
Business and Economics

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Publications in Peer-Reviewed Journals

  • Barbon, A., A. Ranaldo (2025): “On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges”, accepted in Management Science. 
  • Huang, W., A. Ranaldo, A. Schrimpf, F. Somogyi (2025): “Constrained liquidity provision in currency markets”, Journal of Financial Economics 167, https://doi.org/10.1016/j.jfineco.2025.104028   
  • Ranaldo, A, with many other co-authors (2024): “Non-Standard Errors”, Journal of Finance 79(3), 2339-2390. https://doi.org/10.1111/jofi.13337 
  • Kloks, P., P. McGuire, A. Ranaldo, V. Sushko (2023) “Bank positions in FX swaps: insights from CLS”, BIS Quarterly Review, 18 September 2023. 
  • Ballensiefen, B., A. Ranaldo, Winterberg, H. (2023): “Money Market Disconnect”, Review of Financial Studies 36(10), 4158–4189, https://doi.org/10.1093/rfs/hhad022
  • Breedon, F., L. Chen, A. Ranaldo, N. Vause (2023): “Judgment Day: Algorithmic Trading around the Swiss Franc Cap Removal”, Journal of International Economics, volume 140, ISSN 0022-1996. https://doi.org/10.1016/j.jinteco.2022.103713
  • Ballensiefen, B., A. Ranaldo (2023): “Safe Asset Carry Trade”, Review of Asset Pricing Studies 13(2), 223–265. (Editor’s choice article). https://doi.org/10.1093/rapstu/raac015
  • Bechtel, A., A. Ranaldo, J. Wrampelmeyer (2023): “Liquidity Risk and Funding Cost”, Review of Finance 27(2), 399–422. https://doi.org/10.1093/rof/rfac020
  •  Ranaldo, A., P. Santucci d. M. (2022): “Liquidity in the Global Currency Market”, Journal of Financial Economics, 146(3), 859-883. https://doi.org/10.1016/j.jfineco.2022.09.004
  • Di Filippo, M., A. Ranaldo, J. Wrampelmeyer (2022): “Unsecured and Secured Funding”, Journal of Money, Credit and Banking 54 (2-3), 651-662. https://doi.org/10.1111/jmcb.12855
  • Ranaldo, A., P. Schaffner, M. Vasios (2021): “Regulatory Effects on Short Term Interest Rates”, Bank of England Working Paper No. 801, 2019. Journal of Financial Economics 141(2), 750-770. https://doi.org/10.1016/j.jfineco.2021.04.016
  • Ranaldo, A., F. Somogyi (2021): “Asymmetric Information Risk in FX Markets”, Journal of Financial Economics 140 (2) 391-411. https://doi.org/10.1016/j.jfineco.2020.12.007
  • Cenedese, G., A. Ranaldo, M. Vasios (2020): “OTC Premia”. Journal of Financial Economics, 136 (1), 86-105. https://doi.org/10.1016/j.jfineco.2019.09.010
  • Schaffner, P., A. Ranaldo, K. Tsatsaronis (2019): „Euro repo market functioning: collateral is king”, BIS Quarterly Review, December 2019, 95-108.
  • Abdi, F., Ranaldo, A. (2017): “A Simple Estimation of Bid‐Ask Spreads from Daily Close, High, Low Prices”. Review of Financial Studies 30(12), 4437-4480. https://doi.org/10.1093/rfs/hhx084
  • Mancini, L., A. Ranaldo, J. Wrampelmeyer (2016): “The Euro Interbank Repo Market”, Review of Financial Studies, 29 (7), 1747-1779. https://doi.org/10.1093/rfs/hhv056
  • Ranaldo, A., E. Rossi (2016): Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution, SNB Economic Studies, 10/2016. 
  • Karnaukh, N., A. Ranaldo, P Söderlind (2015): “Understanding FX Liquidity”, Review of Financial Studies, 28 (11), 3073-3108. https://doi.org/10.1093/rfs/hhv029
  • Caporin, M., Ranaldo, A., Velo, G.G. (2014): Precious Metals under the Microscope: A High-Frequency Analysis, Quantitative Finance, Volume 15 (5), 743-759. https://doi.org/10.1080/14697688.2014.947313
  • Caporin, M., A. Ranaldo, P. Santucci de Magistris (2013): “On the Predictability of Stock Prices: a Case for High and Low Prices”, Journal of Banking & Finance, 37(12), 5132-5146. https://doi.org/10.1016/j.jbankfin.2013.05.024
  • Bonato, M., M. Caporin, A. Ranaldo (2013): “Risk Spillovers in International Equity Portfolios”, Journal of Empirical Finance, 24, 121-137. https://doi.org/10.1016/j.jempfin.2013.09.005
  • Mancini, L., A. Ranaldo, J. Wrampelmeyer (2013): “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”, Journal of Finance, Volume 68 Issue 5, 1805-1841. https://doi.org/10.1111/jofi.12053  
  • Breedon, F., A. Ranaldo (2013): “Intraday Patterns in FX Returns & Order Flow”, Journal of Money, Credit & Banking, Volume 45 Issue 5, 953-965. https://doi.org/10.1111/jmcb.12032
  • Bonato, M., Caporin, M., Ranaldo, A. (2012): “A Forecast-Based Comparison of Restricted Wishart Autoregressive Models for Realized Covariance Matrices”, The European Journal of Finance, 18 (9), 761-774. https://doi.org/10.1080/1351847X.2011.601629
  • Meichle, M., A. Ranaldo, A. Zanetti (2011): “Do Financial Market Variables Help Predict Swiss Turning Points?”, Journal of Financial Markets & Portfolio Management. 25(4), 435-453. DOI: 10.1007/s11408-011-0173-y 15 – Fischer, A., A. Ranaldo (2011): “Does FOMC News Increase Global FX Trading?”, Journal of Banking & Finance 35(11), 2965-2973. https://doi.org/10.1016/j.jbankfin.2011.03.024
  • Christiansen, C., A. Ranaldo, P. Söderlind (2011): “The Time-Varying Systematic Risk of Carry Trade Strategies”. Journal of Financial & Quantitative Analysis 46(4), 1107-1125. https://doi.org/10.1017/S0022109011000263
  • Ranaldo, A., P, Söderlind (2010): “Safe Haven Currencies”. Review of Finance 14(3), 385 407. (Lead Article). https://doi.org/10.1093/rof/rfq007
  • Ranaldo, A., E. Rossi (2010): “The Reaction of Asset Markets to Swiss National Bank Communication”. Journal of International Money & Finance 29(3), 486-503. https://doi.org/10.1016/j.jimonfin.2009.07.004  
  • Ranaldo, A. (2009): “Segmentation & Time-of-Day Patterns in Foreign Exchange Markets”. Journal of Banking & Finance 33(12), 2199-2206. https://doi.org/10.1016/j.jbankfin.2009.05.019
  • Ranaldo, A., P. Söderlind (2009): “Editorial”. Journal of Financial Markets & Portfolio Management 23(4), 333-334. DOI: 10.1007/s11408-009-0117-y
  • Jordan, T., A. Ranaldo, P. Söderlind (2009): “Implementation of the SNB Monetary Policy”. Journal of Financial Markets & Portfolio Management 23(4), 349-359. DOI: 10.1007/s11408 009-0118-x
  • Christiansen, C., A. Ranaldo (2009): “Extreme Coexceedances in New EU Member States' Stock Markets”. Journal of Banking & Finance 33(6), 1048-1057. https://doi.org/10.1016/j.jbankfin.2008.10.014
  • Ranaldo, A., R. Haeberle (2008): “Wolf in Sheep’s Clothing: The Active Investment Strategies behind Index Performance”. European Financial Management 14(1), 55-81. https://doi.org/10.1111/j.1468-036X.2007.00363.x
  • Christiansen, C., A. Ranaldo (2007): “Realized Bond-Stock Correlation: Macroeconomic Announcement Effects”. Journal of Futures Markets 27(5), 439-469. https://doi.org/10.1002/fut.20258
  • Ranaldo, A., L. Favre (2005): “Hedge Fund Performance & Higher-Moment Market Models”. Journal of Alternative Investments, Winter Issue 8(3), 37-51. DOI: 10.3905/jai.2005.608031
  • Ranaldo, A. (2004): “Order Aggressiveness in Limit Order Book Markets”. Journal of Financial Markets 7(1), 53-74. https://doi.org/10.1016/S1386-4181(02)00069-1
  • Ranaldo, A. (2002): “Transaction Costs on the Swiss Stock Exchange”. Journal of Financial Markets & Portfolio Management 16(1), 53-68. DOI: 10.1007/s11408-002-0104-z
  • Ranaldo, A. (2001): “Intraday Market Liquidity on the Swiss Stock Exchange”. Journal of Financial Markets & Portfolio Management 15(3), 309-327. DOI: 10.1007/s11408-001-0303-z 
  • Pasquier, J., A. Ranaldo, L. Chammartin (2001): “Le Financement du Sport”. Swiss Journal of Business Research & Practice (Die Unternehmung) 01/2001.

Publications in Books

  • Barbon, A., A. Ranaldo (2023): “Non Fungible Tokens”. In: T. Walker, E. Nikbakht, M. Kooli (eds): “The Fintech Revolution: How Financial Innovations Transform the Banking Industry”, Palgrave Macmillan Edition, DOI: 10.1007/978-3-031-23069-1_6. Available as SFI Working Paper N°22-84. 
  • Ranaldo, A. (2023): “Foreign exchange swaps and cross-currency swaps”. In R. S. Gürkaynak & J. H. Wright (eds): “Research Handbook on Financial Markets”, Edward Elgar Publishing, DOI: 10.4337/9781800375321.00030. Available as SFI Working Paper Nº 22-51. 
  • Ranaldo, A. (2008): “Intraday Market Dynamics around Public Information Arrivals”. Published in: Greg N. Gregoriou & Francois-Serge Lhabitant (eds): “Stock Market Liquidity: Implications for Market Microstructure & Asset Pricing”, John Wiley & Sons. 
  • Favre, L., Ranaldo, A. (2006): “How to Price Hedge Funds: From the Two- to the Four Moment CAPM”. In M. Busack & D.G. Kaiser (eds): “Handbuch Alternative Investments”, Publisher: Gabler. 
  • Ranaldo, A. (2000): “Intraday Trading Activity on Financial Markets: the Swiss Evidence”, Ph.D. Thesis, University of Fribourg, Switzerland.

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