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A span of continuous trades and liquidity dynamics in foreign exchange markets

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Persistent link: https://www.econbiz.de/10014253161

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

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Human vs. high-frequency traders, penny jumping, and tick size

Mahmoodzadeh, Soheil; Gençay, Ramazan - In: Journal of banking & finance 85 (2017), pp. 69-82

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Credit rating agencies, information asymmetry and US bond liquidity

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Do central bank actions curb exchange rate volatility?

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Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2014

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Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...

Persistent link: https://www.econbiz.de/10010499534

Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

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Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - In: The review of financial studies 30 (2017) 4, pp. 1053-1094

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Sources of risk in currency returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - 2012

Persistent link: https://www.econbiz.de/10009502462

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