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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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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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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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Monetary policy announcement and algorithmic news trading in the foreign exchange market
Goshima, Keiichi; Kumano, Yusuke - 2018
Persistent link: https://www.econbiz.de/10013447834
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Price discovery and liquidity recovery : forex market reactions to macro announcements
Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013417335
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Do carry trades in the foreign exchange markets influence stock prices
Kurihara, Yutaka - In: International journal of business and economics … 2 (2013) 4, pp. 84-90
Persistent link: https://www.econbiz.de/10010252370
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Exploring the interaction between stock price index and exchange rates : an asymmetric threshold approach
Koulakiotis, Athanasios; Kiohos, Apostolis; Babalos, … - In: Applied economics 47 (2015) 13/15, pp. 1273-1285
Persistent link: https://www.econbiz.de/10010512069
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Exchange rate movements and international interdependence of stock markets
Bhandari, Jagdeep S.; Genberg, Hans - 1989
Persistent link: https://www.econbiz.de/10000831274
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Exchange rate movements and international interdependence of stock markets
Bhandari, Jagdeep S.; Genberg, Hans - 1989
Persistent link: https://www.econbiz.de/10000124003