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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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When do central bank interventions influence intra-daily and longer-term exchange rate movements?
Dominguez, Kathryn M. - 2003
Persistent link: https://www.econbiz.de/10001780120
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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When do central bank interventions influence intra-daily and longer-term exchange rate movements
Dominguez, Kathryn M. - In: Journal of international money and finance 25 (2006) 7, pp. 1051-1071
Persistent link: https://www.econbiz.de/10003394347
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Microstructure of the yen/dollar foreign exchange market : patterns of intra-day activity revealed in the electronic broking system
Itō, Takatoshi; Hashimoto, Yūko - 2004
Persistent link: https://www.econbiz.de/10002418695
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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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A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market
Akiba, Hiroya; Kitamura, Yoshihiro; Matsuda, Shinichi; … - In: Exchange rates in developed and emerging markets : …, (pp. 60-74). 2013
Persistent link: https://www.econbiz.de/10010212668
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Currency order flow and exchange rate determination : empirical evidence from the Malaysian foreign exchange market
Anifowose Daniel Abolaji; Izlin Ismail; Mohd Edil Abd Sukor - In: Global business review 19 (2018) 4, pp. 902-920
Persistent link: https://www.econbiz.de/10011915059