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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012037341
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile - 2020
Persistent link: https://www.econbiz.de/10012214844
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Persistent link: https://www.econbiz.de/10012172721
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Persistent link: https://www.econbiz.de/10012703265
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile A. - 2020
Persistent link: https://www.econbiz.de/10012501062
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile A. - 2020
Persistent link: https://www.econbiz.de/10013190685
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Fast Trading and the Virtue of Entropy : Evidence from the Foreign Exchange Market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2021
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10013315358
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One money, many markets : monetary transmission and housing financing in the euro area
Corsetti, Giancarlo; Duarte, João; Mann, Samuel - 2020
Persistent link: https://www.econbiz.de/10012241653
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Beyond competitive devaluations : the monetary dimensions of comparative advantage
Bergin, Paul R.; Corsetti, Giancarlo - 2015
Persistent link: https://www.econbiz.de/10012171643
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One money, many markets : a factor model approach to monetary policy in the euro area with high-frequency identification
Corsetti, Giancarlo; Duarte, Joao B.; Mann, Samuel - 2018 - This Draft: February 2018
Persistent link: https://www.econbiz.de/10012172361