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Under the microscope: the structure of the foreign exchange market
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Cited by:
- Kentaro Iwatsubo & Yoshihiro Kitamura, 2009.
"Intraday evidence of the informational efficiency of the yen/dollar exchange rate,"
Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1103-1115.
- Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University.
- Coakley, Jerry & Marzano, Michele & Nankervis, John, 2016. "How profitable are FX technical trading rules?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 273-282.
- Alexander Jakob Dautel & Wolfgang Karl Härdle & Stefan Lessmann & Hsin-Vonn Seow, 2020.
"Forex exchange rate forecasting using deep recurrent neural networks,"
Digital Finance, Springer, vol. 2(1), pages 69-96, September.
- Dautel, Alexander J. & Härdle, Wolfgang Karl & Lessmann, Stefan & Seow, Hsin-Vonn, 2019. "Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks," IRTG 1792 Discussion Papers 2019-008, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Dautel, Alexander Jakob & Härdle, Wolfgang Karl & Lessmann, Stefan & Seow, Hsin-Vonn, 2020. "Forex exchange rate forecasting using deep recurrent neural networks," IRTG 1792 Discussion Papers 2020-006, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009.
"Predictability in financial markets: What do survey expectations tell us?,"
Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
- Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series 06-15, Swiss Finance Institute, revised Jun 2006.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
- Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
- Khemraj, Tarron & Pasha, Sukrishnalall, 2012.
"Analysis of an unannounced foreign exchange regime change,"
Economic Systems, Elsevier, vol. 36(1), pages 145-157.
- Khemraj, Tarron & Pasha, Sukrishnalall, 2011. "Analysis of an unannounced foreign exchange regime change," MPRA Paper 38187, University Library of Munich, Germany, revised 2011.
- Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008.
"Order flows, news, and exchange rate volatility,"
Journal of International Money and Finance, Elsevier, vol. 27(6), pages 994-1012, October.
- M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/474, Ghent University, Faculty of Economics and Business Administration.
- Michael Sager & Mark P. Taylor, 2008.
"Commercially Available Order Flow Data and Exchange Rate Movements: Caveat Emptor,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
- Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
- Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Li, Yan, 2024.
"The out-of-sample performance of carry trades,"
Journal of International Money and Finance, Elsevier, vol. 143(C).
- Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
- Zarrabi, Nima & Snaith, Stuart & Coakley, Jerry, 2017. "FX technical trading rules can be profitable sometimes!," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 113-127.
- Kentaro Iwatsubo & Ian W. Marsh, 2014.
"Order Flows, Fundamentals And Exchange Rates,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
- Kentaro Iwatsubo & Ian W. Marsh, 2011. "Order Flows, Fundamentals and Exchange Rates," Discussion Papers 1120, Graduate School of Economics, Kobe University.
- Ashima Goyal, 2015. "Foreign exchange markets, intervention and exchange rate regimes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-011, Indira Gandhi Institute of Development Research, Mumbai, India.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2011.
"Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(2), pages 172-188, April.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers 2009/3, Magyar Nemzeti Bank (Central Bank of Hungary).
- M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
- Gradojevic, Nikola, 2014.
"Foreign exchange customers and dealers: Who’s driving whom?,"
Finance Research Letters, Elsevier, vol. 11(3), pages 213-218.
- Nikola Gradojevic, 2013. "Foreign exchange customers and dealers: Who’s driving whom?," Working Papers 2013-FIN-03, IESEG School of Management.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Reitz, Stefan & Taylor, Mark P., 2008.
"The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis,"
European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
- Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Incomplete information processing: a solution to the forward discount puzzle,"
Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
- Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
- Emanuel Kohlscheen, 2012.
"Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions,"
Working Papers Series
273, Central Bank of Brazil, Research Department.
- Emanuel Kohlscheen, 2013. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," BIS Working Papers 426, Bank for International Settlements.
- Andreas Hadjixenophontos & Christos Christodoulou-Volos, 2017. "Predictability of Foreign Exchange Rates with the AR(1) Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-3.
- Mohamed Masry, 2017. "The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM¡¯s) Country: Theoretical and Empirical Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 91-107, March.
- Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Business School.
- Tsuyuguchi, Yosuke & Wooldridge, Philip D., 2008.
"The evolution of trading activity in Asian foreign exchange markets,"
Emerging Markets Review, Elsevier, vol. 9(4), pages 231-246, December.
- Yosuke Tsuyuguchi & Philip D Wooldridge, 2008. "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers 252, Bank for International Settlements.
- Yosuke Tsuyuguchi & Philip Wooldridge, 2008. "The evolution of trading activity in Asian foreign exchange markets," Bank of Japan Working Paper Series 08-E-5, Bank of Japan.
- Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
- Stefan Reitz & Mark Taylor, 2012.
"FX intervention in the Yen-US dollar market: a coordination channel perspective,"
International Economics and Economic Policy, Springer, vol. 9(2), pages 111-128, June.
- Reitz, Stefan & Taylor, Mark P., 2012. "FX intervention in the yen-US dollar market: A coordination channel perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy (IfW Kiel).
- Taylor, Mark & Hsu, Po-Hsuan, 2014. "Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in t," CEPR Discussion Papers 10018, C.E.P.R. Discussion Papers.
- H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
- Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
- Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023.
"The foreign exchange market,"
Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 12, pages 253-275,
Edward Elgar Publishing.
- Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," BIS Working Papers 1094, Bank for International Settlements.
- Filippou, Ilias & Taylor, Mark P., 2021.
"Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia,"
Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
- Taylor, Mark & Filippou, Ilias, 2021. "Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia," CEPR Discussion Papers 16392, C.E.P.R. Discussion Papers.
- Ashima Goyal, 2017. "Intervention And Signaling: Interaction Between Central Banks And Fx Markets In An Emerging Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(01), pages 193-225, March.
- Georgios, Katechos, 2011. "On the relationship between exchange rates and equity returns: A new approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 550-559, October.
- Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Tayor, 2010.
"Bank of England Interest Rate Announcements and the Foreign Exchange Market,"
International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 211-247, September.
- Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Taylor, 2009. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," CESifo Working Paper Series 2613, CESifo.
- Tuomas A. Peltonen & Adina Popescu & Michael Sager, 2011.
"Can non‐linear real shocks explain the persistence of PPP exchange rate disequilibria?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(3), pages 290-306, July.
- Peltonen, Tuomas A. & Sager, Michael & Popescu, Adina, 2009. "Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?," Working Paper Series 1073, European Central Bank.
- Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
- Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009.
"Financial intermediation and the role of price discrimination in a two-tier market,"
Discussion Paper Series 1: Economic Studies
2009,13, Deutsche Bundesbank.
- Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
- Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2012. "Financial intermediation and the role of price discrimination in a two-tier market," Kiel Working Papers 1794, Kiel Institute for the World Economy (IfW Kiel).
- Yoshihiro Kitamura, 2011. "The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 1-31, March.
- Soumya Datta, 2019. "Exchange rate dynamics under limits of arbitrage and heterogeneous expectations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 521-550, September.
- Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011.
"On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates,"
The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, September.
- Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010. "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates," Discussion Paper Series 1: Economic Studies 2010,08, Deutsche Bundesbank.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009.
"Exchange rate dynamics in a target zone--A heterogeneous expectations approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
- Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
- Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan, 2016. "Technical trading: Is it still beating the foreign exchange market?," Journal of International Economics, Elsevier, vol. 102(C), pages 188-208.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010.
"Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries,"
Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
- Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Ling, Tai-Hu, 2009. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries," MPRA Paper 15794, University Library of Munich, Germany.
- Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
- Lo, Ingrid & Sapp, Stephen G., 2010.
"Order aggressiveness and quantity: How are they determined in a limit order market?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
- Ingrid Lo & Stephen Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Staff Working Papers 07-23, Bank of Canada.
- Ashima Goyal, 2009. "Monetary Policy, Forex Markets and Feedback Under Uncertainity in an Opening Economy," Working Papers id:2208, eSocialSciences.
- Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
- Calebe de Roure & Steven Furnagiev & Stefan Reitz, 2015.
"The microstructure of exchange rate management: FX intervention and capital controls in Brazil,"
Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3617-3632, July.
- de Roure, Calebe & Furniagiev, Steven & Reitz, Stefan, 2013. "The microstructure of exchange rate management: FX intervention and capital controls in Brazil," Kiel Working Papers 1865, Kiel Institute for the World Economy (IfW Kiel).
- Rajesh Mohnot, 2011. "Forecasting Forex Volatility In Turbulent Times," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 5(1), pages 27-38.
- Naderi Semiromi, Hamed & Lessmann, Stefan & Peters, Wiebke, 2020. "News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'économie 11.03, Université de Lausanne, Faculté des HEC, Département d’économie.
- Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
- Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
- Lo, Ingrid & Sapp, Stephen G., 2008. "The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1056-1073, November.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.