Intraday Patterns in FX Returns and Order Flow
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DOI: 10.1111/jmcb.12032
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- Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
- Francis Breedon & Angelo Ranaldo, 2012. "Intraday Patterns in FX Returns and Order Flow," Working Papers 694, Queen Mary University of London, School of Economics and Finance.
- Francis Breedon & Angelo Ranaldo, 2011. "Intraday patterns in FX returns and order flow," Working Papers 2011-04, Swiss National Bank.
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Citations
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Cited by:
- Vitale, Paolo & Rime, Dagfinn & Breedon, Francis, 2010.
"A Transaction Data Study of the Forward Bias Puzzle,"
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- Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
- Jonathan Batten & Brian Lucey & Frank McGroarty & Maurice Peat & Andrew Urquhart, 2017. "Stylized facts of intraday precious metals," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-21, April.
- Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021.
"Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Serdengecti, Suleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," MPRA Paper 105162, University Library of Munich, Germany, revised Jan 2021.
- Suleyman Serdengeçti & Ahmet Sensoy & Duc Khuong Nguyen, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," Working Papers 2020-006, Department of Research, Ipag Business School.
- Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
- Ranaldo, Angelo, 2009.
"Segmentation and time-of-day patterns in foreign exchange markets,"
Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
- Angelo Ranaldo, 2007. "Segmentation and Time-of-Day Patterns in Foreign Exchange Markets," Working Papers 2007-03, Swiss National Bank.
- Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016.
"Carry Trades, Order Flow, and the Forward Bias Puzzle,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
- Francis Breedon & Dagfinn Rime & Paolo Vitale, 2015. "Carry Trades, Order Flow and the Forward Bias Puzzle," Working Papers 761, Queen Mary University of London, School of Economics and Finance.
- Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
- Khademalomoom, Siroos & Narayan, Paresh Kumar, 2019. "Intraday effects of the currency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 65-77.
- Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015.
"Understanding FX Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
- Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.
- Melvin, Michael & Pan, Wenqiang & Wikstrom, Petra, 2020.
"Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns,"
Journal of Financial Markets, Elsevier, vol. 51(C).
- Michael Melvin & Wenqiang Pan & Petra Wikstrom, 2020. "Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns," CESifo Working Paper Series 8143, CESifo.
- Sensoy, Ahmet & Serdengeçti, Süleyman, 2019.
"Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market,"
International Review of Financial Analysis, Elsevier, vol. 64(C), pages 1-12.
- Suleyman Serdengecti & Ahmet Sensoy, 2019. "Intraday Volume-Volatility Nexus in the FX Markets: Evidence from an Emerging Market," Working Papers 1928, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021.
"Asymmetric information risk in FX markets,"
Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
- Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
- Leopoldo Catania & Mads Sandholdt, 2019. "Bitcoin at High Frequency," JRFM, MDPI, vol. 12(1), pages 1-20, February.
- Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
- Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
- Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
- Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
- Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016.
"Carry Trades, Order Flow, and the Forward Bias Puzzle,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
- Francis Breedon & Dagfinn Rime & Paolo Vitale, 2015. "Carry Trades, Order Flow and the Forward Bias Puzzle," Working Papers 761, Queen Mary University of London, School of Economics and Finance.
- Francis Breedon & Dagfinn Rime & Paolo Vitale, 2015. "Carry Trades, Order Flow and the Forward Bias Puzzle," Working Papers 761, Queen Mary University of London, School of Economics and Finance.
- Ingomar Krohn & Philippe Mueller & Paul Whelan, 2024.
"Foreign Exchange Fixings and Returns around the Clock,"
Journal of Finance, American Finance Association, vol. 79(1), pages 541-578, February.
- Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
- Zhang, Hao, 2018. "Intraday patterns in foreign exchange returns and realized volatility," Finance Research Letters, Elsevier, vol. 27(C), pages 99-104.
- Boyarchenko, Nina & Larsen, Lars & Whelan, Paul, 2020.
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- Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
- Dan Gabriel Anghel, 2020. "What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 205-220, October.
- Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
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