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Tests of Microstructural Hypotheses in the Foreign Exchange Market
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Cited by:
- Shang-Jin Wei & Jungshik Kim, 1997.
"The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?,"
NBER Working Papers
6256, National Bureau of Economic Research, Inc.
- Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 05A, Center for International Development at Harvard University.
- Wei, S.J. & Kim, J., 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," Papers 5, Chicago - Graduate School of Business.
- Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 5, Center for International Development at Harvard University.
- Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "Introduction to "The Microstructure of Foreign Exchange Markets"," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 1-18, National Bureau of Economic Research, Inc.
- 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.
- Lyons, Richard K & Rose, Andrew K, 1995.
"Explaining Forward Exchange Bias . . . Intraday,"
Journal of Finance, American Finance Association, vol. 50(4), pages 1321-1329, September.
- Lyons, Richard K & Rose, Andrew K, 1994. "Explaining Forward Exchange Bias .... Intra-day," CEPR Discussion Papers 1059, C.E.P.R. Discussion Papers.
- Richard K. Lyons & Andrew K. Rose, 1995. "Explaining Forward Exchange Bias..Intraday," NBER Working Papers 4982, National Bureau of Economic Research, Inc.
- Richard K. Lyons and Andrew K. Rose., 1995. "Explaining Forward Exchange Bias...Intraday," Research Program in Finance Working Papers RPF-242, University of California at Berkeley.
- Shang-Jin Wei, 1991.
"Anticipations of foreign exchange volatility and bid-ask spreads,"
International Finance Discussion Papers
409, Board of Governors of the Federal Reserve System (U.S.).
- Shang-Jin Wei, 1994. "Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads," NBER Working Papers 4737, National Bureau of Economic Research, Inc.
- Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
- Ito, Takatoshi & Hashimoto, Yuko, 2006.
"Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system,"
Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
- Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System," CIRJE F-Series CIRJE-F-407, CIRJE, Faculty of Economics, University of Tokyo.
- Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc.
- John A. Carlson & Carol L. Osler, 1996.
"Rational speculators and exchange rate volatility,"
Staff Reports
13, Federal Reserve Bank of New York.
- Carlson, J.A. & Olser, C.L., 1997. "Rational Speculators and Exchange Rate Volatility," Papers 97-005, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
- Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010.
"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Desgranges, Gabriel & Foucault, Thierry, 2005. "Reputation-based pricing and price improvements," Journal of Economics and Business, Elsevier, vol. 57(6), pages 493-527.
- H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017.
"Inventory Information,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413,
World Scientific Publishing Co. Pte. Ltd..
- H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
- Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.
- H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 2003/115, International Monetary Fund.
- Alexander Mende, 2006.
"09/11 on the USD/EUR foreign exchange market,"
Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 213-222.
- Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- David G. McMillan & Alan E. H. Speight, 2006. "Volatility dynamics and heterogeneous markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 115-121.
- Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
- Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 557-574, February.
- Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
- Goodhart, Charles & Chang, Yuanchen & Payne, Richard, 1997. "Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 921-930, December.
- Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
- Antonio Scalia & Valerio Vacca, 2001.
"Does market transparency matter? A case study,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 113-144,
Bank for International Settlements.
- Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? A Case Study," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-27, Bank for International Settlements.
- Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research and International Relations Area.
- Vacca, V. & Scalia, A., 1999. "Does Market Transparency Matter? A Case Study," Papers 359, Banca Italia - Servizio di Studi.
- Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.
- Jeffrey Frankel., 1995.
"How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?,"
Center for International and Development Economics Research (CIDER) Working Papers
C95-058, University of California at Berkeley.
- Jeffrey A. Frankel, 1996. "How Well do Foreign Exchange Markets Function: Might a Tobin Tax Help?," NBER Working Papers 5422, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey, 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers 233420, University of California-Berkeley, Department of Economics.
- Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012.
"Short-run forecasting of the euro-dollar exchange rate with economic fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
- Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1203, Banco de España.
- Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
- Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
- Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
- Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024.
"How do Treasury dealers manage their positions?,"
Journal of Financial Economics, Elsevier, vol. 158(C).
- Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
- Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30, Puey Ungphakorn Institute for Economic Research.
- Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2011.
"An investigation of customer order flow in the foreign exchange market,"
Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1892-1906, August.
- Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
- Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2010. "An investigation of customer order flow in the foreign exchange market," SIRE Discussion Papers 2010-11, Scottish Institute for Research in Economics (SIRE).
- Angelo Ranaldo & Paul Söderlind, 2010.
"Safe Haven Currencies,"
Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
- Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," Working Papers 2007-17, Swiss National Bank.
- Söderlind, Paul & Ranaldo, Angelo, 2009. "Safe Haven Currencies," CEPR Discussion Papers 7249, C.E.P.R. Discussion Papers.
- Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015.
"Informed traders’ arrival in foreign exchange markets: Does geography matter?,"
Empirical Economics, Springer, vol. 49(4), pages 1431-1462, December.
- Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
- Lechner, Sandra & Nolte, Ingmar, 2007. "Customer trading in the foreign exchange market empirical evidence from an internet trading platform," CoFE Discussion Papers 07/03, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Lewis, Karen K., 1995.
"Puzzles in international financial markets,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 37, pages 1913-1971,
Elsevier.
- Lewis, K.K., 1994. "Puzzles in international Financial Markets," Weiss Center Working Papers 94-7, Wharton School - Weiss Center for International Financial Research.
- Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
- Charles Goodhart & Ryan Love & Richard Payne & Dagfinn Rime, 2002.
"Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets,"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(35), pages 535-552.
- Goodhart, Charles & Love, Ryan & Payne, Richard & Rime, Dagfinn, 2002. "Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets," LSE Research Online Documents on Economics 24958, London School of Economics and Political Science, LSE Library.
- Richard Payne & Charles Goodhart & Dagfinn Rime, 2002. "Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets," FMG Discussion Papers dp467, Financial Markets Group.
- Breedon, Francis & Pétursson, Thórarinn G. & Vitale, Paolo, 2023.
"The currency that came in from the cold: Capital controls and the information content of order flow,"
Journal of International Money and Finance, Elsevier, vol. 138(C).
- Francis Breedon & Thórarinn G. Pétursson & Paolo Vitale, 2021. "The currency that came in from the cold - Capital controls and the information content of order flow," Economics wp86, Department of Economics, Central bank of Iceland.
- Peter Rowland & Hugo Oliveros, 2003. "Colombian Purchasing Power Parity Analysed Using A Framework of Multivariate Cointegration," Borradores de Economia 2150, Banco de la Republica.
- He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2013.
"Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market,"
Journal of International Money and Finance, Elsevier, vol. 35(C), pages 20-35.
- Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
- Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
- ap Gwilym, Owain & Clare, Andrew & Thomas, Stephen, 1998. "Price clustering and bid-ask spreads in international bond futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 377-391, December.
- Stenfors, Alexis, 2018.
"Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 78-97.
- Alexis Stenfors, 2017. "Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?," Working Papers in Economics & Finance 2017-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center.
- 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.
- 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.
- 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).
- Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005.
"Dealer behavior and trading systems in foreign exchange markets,"
Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
- Hoidal Bjonnes, Geir & Rime, Dagfinn, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," SIFR Research Report Series 17, Institute for Financial Research.
- Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank.
- Hau, Harald & Killeen, William & Moore, Michael, 2002. "The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.
- Boyer, M. Martin & van Norden, Simon, 2006.
"Exchange rates and order flow in the long run,"
Finance Research Letters, Elsevier, vol. 3(4), pages 235-243, December.
- M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers 2006s-07, CIRANO.
- Richard K. Lyons, 1996.
"Foreign Exchange Volume: Sound and Fury Signifying Nothing?,"
NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208,
National Bureau of Economic Research, Inc.
- Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
- Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
- Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
- 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.
- Paolo Vitale, 2007.
"A Guided Tour Of The Market Microstructure Approach To Exchange Rate Determination,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 903-934, December.
- Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
- 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.
- Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
- Chionis, Dionysios & MacDonald, Ronald, 2002. "Aggregate and disaggregate measures of the foreign exchange risk premium," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 57-84, April.
- Thomas Gehrig & Lukas Menkhoff, 2005.
"The Rise of Fund Managers in Foreign Exchange:Will Fundamentals Ultimately Dominate?,"
The World Economy, Wiley Blackwell, vol. 28(4), pages 519-540, April.
- Gehrig, Thomas & Menkhoff,Lukas, 2004. "The Rise of Fund Managers in Foreign Exchange: Will Fundamentals Ultimately Dominate?," Hannover Economic Papers (HEP) dp-308, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996.
"Is There Private Information in the FX Market? The Tokyo Experiment,"
Working Papers
_005, University of California at Berkeley, Haas School of Business.
- Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley.
- Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," NBER Working Papers 5936, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Richard K. Lyons & Michael Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco.
- Ito, T. & Lyons, R. & Melvin, M.T., 1997. "Is There Private Information on the FX Market? The Tokyo Experiment," Papers 97-04, Economisch Institut voor het Midden en Kleinbedrijf-.
- Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
- Dominguez, Kathryn M. E., 2003.
"The market microstructure of central bank intervention,"
Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
- Dominguez & K., 1997. "The Market Microstructure of Central Bank Intervention," Working Papers 412, Research Seminar in International Economics, University of Michigan.
- Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
- Fischer, Andreas M. & Isakova, Gulzina & Termechikov, Ulanbek, 2009.
"Do FX traders in Bishkek have similar perceptions to their London colleagues?: Survey evidence of market practitioners' views,"
Journal of Asian Economics, Elsevier, vol. 20(2), pages 98-109, March.
- Andreas M. Fischer & Ulan Termechikov, 2007. "Do FX traders in Bishkek have similar perceptions to their London colleagues? Survey evidence of market practitioners' views," Working Papers 2007-01, Swiss National Bank.
- Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
- 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).
- 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.
- Kadan, Ohad, 2006. "So who gains from a small tick size?," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 32-66, January.
- Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.
- Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011.
"Price discovery in currency markets,"
Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
- Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
- de Jong, F. & Mahieu, R. & Schotman, P. & Leeuwen, I., 1999.
"Price Discovery on Foreign Exchange Markets with Differentially Informed Traders,"
Papers
99-56, Southern California - School of Business Administration.
- Frank de Jong & Ronald Mahieu & Peter Schotman & Irma van Leeuwen, 1999. "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Tinbergen Institute Discussion Papers 99-032/2, Tinbergen Institute.
- Martin D.D. Evans & Richard K. Lyons, 2017.
"Order Flow and Exchange Rate Dynamics,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Whose trades convey information? Evidence from a cross-section of traders,"
Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
- Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Mark T. Leung & An‐Sing Chen & Ruben Mancha, 2009. "Making trading decisions for financial‐engineered derivatives: a novel ensemble of neural networks using information content," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(4), pages 257-277, October.
- Jun Muranaga & Tokiko Shimizu, 1999. "Market Microstructure and Market Liquidity," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-28, Bank for International Settlements.
- Martin D. D. Evans, 2019.
"Front-Running and Collusion in Forex Trading,"
Working Papers
gueconwpa~19-19-02, Georgetown University, Department of Economics.
- evans, Martin, 2019. "Front-Running and Collusion in Forex Trading," MPRA Paper 94209, University Library of Munich, Germany.
- Love, Ryan & Payne, Richard, 2008.
"Macroeconomic News, Order Flows, and Exchange Rates,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 467-488, June.
- Richard Payne, 2003. "Macroeconomic news, order flows and exchange rates," FMG Discussion Papers dp475, Financial Markets Group.
- Love, Ryan & Payne, Richard, 2003. "Macroeconomic news, order flows and exchange rates," LSE Research Online Documents on Economics 24901, London School of Economics and Political Science, LSE Library.
- Nikola Gradojevic, 2007. "A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1377-1387.
- Peter Rowland, 2003. "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
- Peter Rowland & Hugo OLiveros C., 2003. "Colombian Purchasing Power Parity Analysed Using a Framework of Multivariate Cointegration," Borradores de Economia 252, Banco de la Republica de Colombia.
- Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"Are Different-Currency Assets Imperfect Substitutes?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 10, pages 415-456,
World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2000. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~00-00-05, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo.
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