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A span of continuous trades and liquidity dynamics in foreign exchange markets

Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168

Persistent link: https://www.econbiz.de/10014253161

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...

Persistent link: https://www.econbiz.de/10010499534

Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - In: The review of financial studies 30 (2017) 4, pp. 1053-1094

Persistent link: https://www.econbiz.de/10011749335

Puzzles in the Forex Tokyo "fixing" : order imbalances and biased pricing by banks

Itō, Takatoshi; Yamada, Masahiro - 2016

Persistent link: https://www.econbiz.de/10011706287

09/11 on the USD/EUR foreign exchange market

Mende, Alexander (contributor) - 2005

We study the relationship between foreign exchange trading activity and volatility on the USD/EUR foreign exchange market on the basis of a unique data set around the events of 09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but the shock is not...