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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?

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performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …

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Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - 2012

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...