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Foreign exchange market structure, players and evolution
King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2011
Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray,...
Persistent link: https://www.econbiz.de/10009292069
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Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
Doman, Malgorzata - In: Dynamic Econometric Models 10 (2010), pp. 5-14
realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise … from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of … realized volatility calculation. Moreover, we check the linkages between the noise and some liquidity measures. …
Persistent link: https://www.econbiz.de/10009002086
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From Diffusions to Semimartingales
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in … present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the …
Persistent link: https://www.econbiz.de/10011082748
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Preface
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in … present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the …
Persistent link: https://www.econbiz.de/10011082751
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High-Frequency Financial Econometrics
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in … present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the …
Persistent link: https://www.econbiz.de/10011082768
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The market microstructure approach to foreign exchange: Looking back and looking forward
King, Michael R.; Osler, Carol L.; Rime, Dagfinn - In: Journal of International Money and Finance 38 (2013) C, pp. 95-119
Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...
Persistent link: https://www.econbiz.de/10010719330
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The informational impact of electronic trading systems on the FTSE 100 stock index and its futures contracts
Sebastiao, Helder - In: The European Journal of Finance 16 (2010) 7, pp. 611-640
This article examines the partial adjustment factors of Financial Times Stock Exchange (FTSE) 100 stock index and stock index futures. Using high frequency data from 15 January 1997 to 17 March 2000, it aims to assess the informational impact of the electronic trading systems implemented at the...
Persistent link: https://www.econbiz.de/10008674491
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The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
King, Michael; Osler, Carol; Rime, Dagfinn - Department of Economics, International Business School, … - 2012
Looking back, 30 years of research on foreign exchange (FX) market microstructure reveals that order flow, heterogeneity among agents, and private information are crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit...
Persistent link: https://www.econbiz.de/10010896681
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Algorithmic Trading and Information
Hendershott, Terrence; Riordan, Ryan - NET Institute - 2009
We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of...
Persistent link: https://www.econbiz.de/10008528442
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Optimal algorithmic trading and market microstructure
Labadie, Mauricio; Lehalle, Charles-Albert - HAL - 2010
recursive algorithm using the "shooting method", a numerical technique for differential equations. This method has the advantage …
Persistent link: https://www.econbiz.de/10009004098