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Asymmetric information, price discovery and macroeconomic announcements in FX market : do top trading bank know more?
Phylaktis, Kate; Chen, Long - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 228-246
Persistent link: https://www.econbiz.de/10008702346
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Further evidence on foreign exchange jumps and news announcements
Frömmel, Michael; Han, Xing; Van Gysegem, Frederick - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 774-787
Persistent link: https://www.econbiz.de/10011404582
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From the bird's eye to the microscope : a survey of new stylized facts of the intra-daily foreign exchange markets
Guillaume, Dominique M. (contributor) - 1994
Persistent link: https://www.econbiz.de/10000904072
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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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The information effect of order flows in foreign currency futures and spot markets
Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 42 (2022) 8, pp. 1549-1572
Persistent link: https://www.econbiz.de/10013288004
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Intraday price discovery analysis in the foreign exchange market of an emerging economy : Mexico
Martinez, Valeria; Tse, Yiuman - In: Research in international business and finance 45 (2018), pp. 271-284
Persistent link: https://www.econbiz.de/10011983258
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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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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - 2015
Persistent link: https://www.econbiz.de/10011736615
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Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis
Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30
Persistent link: https://www.econbiz.de/10011747218