Portrait of Professor Richard Payne

Professor Richard Payne

Professor of Finance

Bayes Business School

Contact

About

Overview

Richard Payne is the Deputy Dean of Bayes Business School, with a remit focussed on programmes and education. He is also a Professor of Finance in the Faculty of Finance at Bayes. He chairs the Shadow Leadership Board at City St George's, University of London and serves as a staff member of the University Council (the governing body of the institution).

Payne conducts research in the areas of empirical market microstructure and empirical asset pricing. He has written on topics that include the asymmetry in long-run stock return distributions, the determination of exchange rates, the links between exchange rates and equity index returns, the trading of fixed income swaps, algorithmic trading and the effects of transparency in equity markets and how short selling affects equity markets. He has published widely in top finance and economics journals including the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, the Review of Finance, the Economic Journal and the Journal of International Economics.

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. He has commented about issues relating to financial markets and trading in a variety of media outliets including BBC World Service, BBC Five Live, CNBC Turkey, Channel News Asia, the Daily Telegraph, Die Welt and the Conversation UK, amongst others.

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, United Kingdom, May 2012 - present
  • Reader in Finance, City University London, London, United Kingdom, September 2010 - April 2012
  • Associate Professor in Finance, University of Warwick, United Kingdom, January 2009 - September 2010
  • Professor of Finance, University of Bristol, United Kingdom, October 2005 - December 2008
  • Lecturer in Finance, London School of Economics and Political Science, London, United Kingdom, October 1998 - June 2003

Memberships of professional organisations

  • European Finance Association, September 2009 - present

Expertise

Primary topics

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

Additional topics

  • Capital Markets
  • Hedge Funds
  • Investment Banking

Industries

  • financial services
  • investment banking

Geographic Areas

  • Americas - North
  • Europe

Research

Research topics

Equity market microstructure and trading

Exchange rate determination and FX market microstructure

Short-selling

Computer-based trading and market quality

Research students

Torben Latza

Attendance: October 2005 - September 2011, full-time

Thesis title: Equity microstructure

Role: 1st Supervisor

Michalis Vasios

Thesis title: FX and equity microstructure

Role: 2nd Supervisor

2ndsupervisor

  • Riccardo Borghi, Research Student

Publications

Book

  1. Goodhart, C. and Payne, R. (2000). The Foreign Exchange Market: Empirical Studies with High-Frequency Data. Palgrave Macmillan. ISBN 9780333630839.

Chapters (4)

  1. 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).
  2. Daníelsson, J. and Payne, R. (2016). Liquidity determination in an order-driven market. High Frequency Trading and Limit Order Book Dynamics (pp. 67-89).
  3. 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.
  4. 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 (32)

  1. Degryse, H., De Winne, R., Gresse, C. and Payne, R. (2025). Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets. Management Science. doi:10.1287/mnsc.2023.01789

    [publisher’s website]

  2. Neuberger, A. and Payne, R. (2021). The Skewness of the Stock Market over Long Horizons. The Review of Financial Studies, 34(3), pp. 1572-1616. doi:10.1093/rfs/hhaa048

    [publisher’s website]

  3. Benos, E., Payne, R. and Vasios, M. (2020). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act. Journal of Financial and Quantitative Analysis, 55(1), pp. 159-192. doi:10.1017/s0022109018001527

    [publisher’s website]

  4. Cartea, Á., Payne, R., Penalva, J. and Tapia, M. (2019). Ultra-fast activity and intraday market quality. Journal of Banking & Finance, 99, pp. 157-181. doi:10.1016/j.jbankfin.2018.12.003

    [publisher’s website]

  5. 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

    [publisher’s website]

  6. Friederich, S. and Payne, R. (2015). Order-to-trade ratios and market liquidity. Journal of Banking & Finance, 50, pp. 214-223. doi:10.1016/j.jbankfin.2014.10.005

    [publisher’s website]

  7. 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
  8. Friederich, S. and Payne, R. (2014). Trading anonymity and order anticipation. Journal of Financial Markets, 21, pp. 1-24. doi:10.1016/j.finmar.2014.07.002

    [publisher’s website]

  9. 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

    [publisher’s website]

  10. 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

    [publisher’s website]

  11. 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
  12. Marsh, I.W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance

    [publisher’s website]

  13. 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

    [publisher’s website]

  14. Danielsson, J., Luo, J. and Payne, R. (2011). Explaining and Forecasting Exchange Rates. European Journal of Finance
  15. 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
  16. Moore, M. and Payne, R. (2011). On the existence of private information in FX markets. Journal of Banking and Finance, 35, pp. 1250-1262
  17. Love, R. and Payne, R. (2008). Macroeconomic News, Order Flows, and Exchange Rates. Journal of Financial and Quantitative Analysis, 43(2), pp. 467-488. doi:10.1017/s0022109000003598

    [publisher’s website]

  18. Love, R. and Payne, R. (2008). Macroeconomic News, Order Flows, and Exchange Rates. Journal of Financial and Quantitative Analysis, 43, pp. 467-488
  19. 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

    [publisher’s website]

  20. 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
  21. 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

    [publisher’s website]

  22. 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

    [publisher’s website]

  23. Payne, R. and Vitale, P. (2003). A transaction level study of the effects of central bank intervention on exchange rates. , 61(2), pp. 331-352
  24. 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

    [publisher’s website]

  25. 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

    [publisher’s website]

  26. Danielsson, J. and Payne, R. (2002). Real trading patterns and prices in spot foreign exchange markets. , 21(2), pp. 203-222
  27. 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

    [publisher’s website]

  28. 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

    [publisher’s website]

  29. 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)2:4<267::aid-jfe57>3.0.co;2-j

    [publisher’s website]

  30. 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
  31. 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

    [publisher’s website]

  32. Payne, R. (1996). Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market. LSE Financial Markets Group Discussion Paper Series, 238

Reports (6)

  1. Payne, R. and Friederich, S. (2012). Computer-based trading and market abuse. Foresight - Government Office for Science.
  2. Payne, R. and Friederich, S. (2012). Order to trade ratios and their impact on Italian stock market quality. Foresight - Government Office for Science.
  3. Atak, A. (2011). The Future of Computer Trading in Financial Markets. Government Office for Science.
  4. Payne, R. and Friederich, S. (2011). Computer based trading, liquidity and trading costs. Foresight - Government Office for Science.
  5. Marsh, I. and Payne, R. (2011). Banning Short Sales and Market Quality: The UK's Experience..
  6. Payne, R. (1998). Non-Linear Mean Reversion in the Foreign Exchange Forward Premium..

Scholarly editions (3)

  1. Payne, R., Goodhart, C. and Rime, D. Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets.
  2. Degryse, H., De Winne, R., Gresse, C. and Payne, R. High frequency trading and ghost liquidity.
  3. Degryse, H., De Winne, R., Gresse, C. and Payne, R. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity.

Working papers (7)

  1. Degryse, H., De Winne, R., Gresse, C. and Payne, R.G. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. Elsevier BV.
  2. Benos, E., Payne, R. and Vasios, M. Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act. Elsevier BV.
  3. Clare, A., Motson, N., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees? London: Cass Business School, City University, London
  4. Payne, R. and Vitale, P. A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates.
  5. Payne, R. A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates.
  6. Franus, T., Marchese, M. and Payne, R. A machine learning approach to predict market manipulation.
  7. Franus, T. and Payne, R. Spoofing manipulation and intraday market quality.

Other (5)

  1. Friederich, S. and Payne, R.(2011). Post-trade anonymity, order book liquidity and the cost of institutional equity orders.
  2. Latza, T. and Payne, R.(2011). The information content of high-frequency limit order flows.
  3. Friederich, S. and Payne, R.(2010). Information and price improvement in non-anonymous trading.
  4. Payne, R.(2010). Stock lending and UK stock returns.
  5. Goodhart, C. and Payne, R.(1999). The Foreign Exchange Market: Empirical Studies with High-frequency Data.

Education

Course Directorship

- 2010 - present, MSc in Finance, Director

Subject/Academic Leadership

Acted on various recruitment panels.

Professional activities

Events/conferences (26)

  1. Universite Paris-Dauphine. (Seminar) Paris (2017). Invited speaker.
    Paper: Estimating the Moments of Long Horizon Returns
    Author: Neuberger, A.
    Co-authors: Payne, R.
  2. Stockholm Business School. (Seminar) Stockholm (2017). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  3. Midwest Finance Association meetings 2017. (Conference) Chicago (2017). Invited speaker.
    Paper: Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act
    Author: Benos, E.
    Co-authors: Payne, R. and Vasios, M.
  4. Brunel University. (Conference) London (2016). Invited speaker.
    Paper: Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act
    Author: Benos, E.
    Co-authors: Payne, R. and Vasios, M.
  5. University of Southampton Finance and Econometrics Workshop. (Workshop) Southampton (2016). Invited speaker.
    Paper: Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act
    Author: Benos, E.
    Co-authors: Payne, R. and Vasios, M.
  6. University of Piraeus. (Seminar) Piraeus (2016). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  7. Bank of England. (Seminar) London (2016). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  8. Goethe University. (Seminar) Frankfurt (2015). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  9. Universite Paris-Dauphine. (Seminar) Paris (2015). Invited speaker.
    Paper: What do stock markets tell us about exchange rates?
    Author: Cenedese, G.
    Co-authors: Payne, R. and Sarno, L. and Valente, G.
  10. University of Stavanger. (Seminar) Stavanger (2015). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  11. University of Loughborough. (Seminar) Loughborough (2015). Invited speaker.
    Paper: What do stock markets tell us about exchange rates?
    Author: Cenedese, G.
    Co-authors: Payne, R. and Sarno, L. and Valente, G.
  12. University of Edinburgh. (Seminar) Edinburgh (2015). Invited speaker.
    Paper: What do stock markets tell us about exchange rates?
    Author: Cenedese, G.
    Co-authors: Payne, R. and Sarno, L. and Valente, G.
  13. University of Liverpool. (Seminar) Liverpool (2015). Invited speaker.
    Paper: What do stock markets tell us about exchange rates?
    Author: Cenedese, G.
    Co-authors: Payne, R. and Sarno, L. and Valente, G.
  14. University of Reading. (Seminar) Reading (2015). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh, I.
    Co-authors: Payne, R.
  15. EFMA annual meetings. (Conference) Reading, UK (2013). Organising Committee
  16. EMG microstructure conference. (Conference) Cass (2012). Organising Committee and Session/Day Chair
  17. Warwick Frontiers of Finance. (Conference) Warwick (2012).
    Paper: Market order flows, limit order flows and exchange rates
    Author: Payne R
    Co-authors: Kozhan, Moore
  18. EMG microstructure conference. (Conference) London (2012).
    Paper: Market order flows, limit order flows and exchange rates
    Author: Payne R
    Co-authors: Kozhan, Moore
  19. 8th central bank microstructure conference. (Conference) Ottowa (2012).
    Paper: Market order flows, limit order flows and exchange rates
    Author: Payne R
    Co-authors: Kohzan, Moore
  20. University of Swansea. (Seminar) Swansea (2011). Invited speaker.
    Paper: Post-trade anonymity and stock market liquidity
    Author: Payne R
    Co-authors: Friederich
  21. University of Porto. (Seminar) Portugal (2011). Invited speaker.
    Paper: Post-trade anonymity and stock market liquidity
    Author: Payne R
    Co-authors: Friederich
  22. Humboldt University. (Seminar) Germany (2011). Invited speaker.
    Paper: How did restrictions on short-selling affect liquidity for blue-chip UK stocks
    Author: Payne R
    Co-authors: Marsh
  23. European meetings of the FMA. (Conference) Porto (2011).
    Paper: Post-trade anonymity and stock market liquidity
    Author: Payne R
    Co-authors: Friederich
  24. Autumn meetings of Inquire UK. (Conference) Bristol (2011).
    Paper: How did restrictions on short-selling affect liquidity for blue-chip UK stocks
    Author: Payne R
    Co-authors: Friederich
  25. University of Essex. (Seminar) Essex (2010). Invited speaker.
    Paper: Post-trade anonymity and stock market liquidity
    Author: Payne R
    Co-authors: Friederich
  26. Queen's Unversity Belfast. (Seminar) Belfast (2010).
    Paper: Post-trade anonymity and stock market liquidity
    Author: Payne R
    Co-authors: Friederich

Media appearances (25)

  1. Trading Drop Fuels Speculation Barclays May Shutter Dark Pool. (2014) Washington Post - Bloomberg (newspaper).
  2. Trading Slump Fuels Speculation Barclays May Shutter Dark Pool. (2014) Global Association of Risk Professionals.
  3. Trading Slump Fuels Speculation Barclays May Shut Dark Pool. (2014) Global Association of Risk Professionals.
  4. Trading Dip Fuels Speculation Barclays May Shut Dark Pool. (2014) Bloomberg.
  5. Episode 177 - Currency movements and international equity returns by Cass Business School. (2014) MoneyScience.
  6. ""Die MŠrkte sind alle manipuliert"". (2014) Hamburger Abendblatt (newspaper).
  7. ""Die MŠrkte sind alle manipuliert"". (2014) Berliner Morgenpost (newspaper).
  8. ""Die MŠrkte sind alle manipuliert"". (2014) Die Welt (newspaper).
  9. Hochfrequenzhandel - ""Die MŠrkte sind alle manipuliert"" - †berregionalesWirtschaft. (2014) Bergedorfer Zeitung (newspaper).
  10. Channel News Asia. (2014) Channel News Asia.
  11. Devisenmanipulationen: Anshu Jains Skandal. (2014) FAZ.net (website).
  12. (2014) BBC World Service Radio (radio).
  13. Londra boccia il diveto di short. (2012) milano Finanzo.
  14. Cass business school. (2012) Milano Finanza.
  15. Regulators claim short-selling ban victory in Europe. (2012) Financial Times (newspaper).
  16. (2011) BBC Radio 5 (radio).
  17. (2011) www.yahoo.it (website).
  18. (2011) BBC Radio Wales (radio).
  19. Short selling ban. (2011) Businessspectator.com.au (website).
  20. Greece forced to tap emergency fund. (2011) stocksmarket.in (website).
  21. Last ditch fund open for Greek banks. (2011) Daily Telegraph (newspaper).
  22. Four EU states may extend short-selling ban. (2011) sharenet.
  23. Four EU states extend short selling ban. (2011) Reuters.
  24. Four european states may extend short selling ban. (2011) cnbc.com (website).
  25. (2010) lesechos.