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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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Puzzles in the Forex Tokyo “Fixing” : Order Imbalances and Biased Pricing by Banks
Ito, Takatoshi - 2016
“Fixing” in the foreign exchange market is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail...
Persistent link: https://www.econbiz.de/10012979362
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Puzzles in the Forex Tokyo " fixing" : order imbalances and biased pricing by banks
Itō, Takatoshi; Yamada, Masahiro - 2016
Persistent link: https://www.econbiz.de/10011574763
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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
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Puzzles in the Forex Tokyo “Fixing” : Order Imbalances and Biased Pricing by Banks
Ito, Takatoshi - 2016
"Fixing" in the foreign exchange market is a market practice that determines the bid-ask-mid-point exchange rate at a scheduled time, 10am in Tokyo and 4pm in London. The fixing exchange rate is then applied to the settlement of foreign exchange transactions between banks and retail customers...
Persistent link: https://www.econbiz.de/10012455860
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2014
Persistent link: https://www.econbiz.de/10010363557
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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
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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
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Sources of risk in currency returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - 2012
Persistent link: https://www.econbiz.de/10009502462
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
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 structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10011476532