We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the … the deutschmark/dollar market. Our empiricalresults suggest an important but not exclusive role for German banks inthe … price discovery process. There is also a group of banks, German andnon-German, that lags behind the market and does not …

the impact of volume on volatility in the the FX-market using a unique data set of daily trading in the Swedish krona (SEK …The relationship between volume and volatility has received much attention in the the literature of financial markets …. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies …

This paper presents a first investigation of hourly price determinants in the German intraday market for electricity …-linear merit-order shape, ramping costs and strategic market behavior are discussed. The empirical results from different …