Similar Search Results

Tick size reduction and price clustering in a FX order book

Lallouache, Mehdi; Abergel, Frédéric - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 488-498

We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price...

Persistent link: https://www.econbiz.de/10010939944

Foreign exchange customers and dealers: Who’s driving whom?

Gradojevic, Nikola - In: Finance Research Letters 11 (2014) 3, pp. 213-218

This paper tests the theoretical assumption of the foreign exchange market microstructure that dealers and non-dealer customers interact over discrete trading rounds. An exhaustive frequency-domain analysis reveals that the interaction is limited and mainly due to the instability of financial...

Persistent link: https://www.econbiz.de/10010940021

Dynamic limit order market with diversity in trading horizons

van Achter, Mark - Center for Financial Studies - 2008

This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...

Persistent link: https://www.econbiz.de/10010958569

Explaining exchange rate movements: an application of the market microstructure approach on the Pakistani foreign exchange market

Jalil1, Abdul; Feridun, Mete - In: Journal of Developing Areas 44 (2010) 1, pp. 255-265

This present article aims at explaining the exchange rate movements in the Pakistani foreign exchange market using the market micro structure approach, which has not been applied to date due to the unavailability of high-frequency data on the order flow for Pakistan. The novelty of the present...

Persistent link: https://www.econbiz.de/10011213227

Commonality in returns, order flows, and liquidity in the Greek stock market

Dunne, Peter; Moore, Michael; Papavassiliou, Vasileios - In: The European Journal of Finance 17 (2011) 7, pp. 577-587

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in...

Persistent link: https://www.econbiz.de/10009276885

Estimating the efficient price from the order flow: A Brownian Cox process approach

Delattre, Sylvain; Robert, Christian Y.; Rosenbaum, Mathieu - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2603-2619

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price, etc.). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies....

Persistent link: https://www.econbiz.de/10010666235

Order Flows, News, and Exchange Rate Volatility

FRÖMMEL, M.; MENDE, A.; MENKHOFF, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007

) in explaining exchange rate volatility. Analyzing four months of a bank’s high frequency US dollar-euro trading, three … different kinds of order flow are used in addition to seasonal patterns in explaining volatility. We find that only larger sized … order flows from financial customers and banks – indicating informed trading – contribute to explaining volatility, whereas …

Persistent link: https://www.econbiz.de/10004983089

Measuring Liquidity in the Greek Government Securities Market

Christodoulopoulos, Thanasis N.; Grigoratou, Ioulia - Bank of Greece - 2005

price volatility, probably due to the specific structure of the government securities market in Greece. Therefore, trading …

Persistent link: https://www.econbiz.de/10005129453

Order Flow and Exchange Rate Dynamics in Brazil

Medeiros, Otavio De - EconWPA - 2005

The paper presents results of empirical tests with hybrid nominal exchange rate models for the Brazilian foreign exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in the German (DM/US$) and the Japanese (¥/US$) foreign...

Persistent link: https://www.econbiz.de/10005134888

The market microstructure approach to foreign exchange - Looking back and looking forward

King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2013

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/10010787782

1
2
3
4
5
6
7
8
9
10
Next
Last