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Multiscale analysis of foreign exchange order flows and technical trading profitability
Gradojevic, Nikola; Lento, Camillo - In: Economic modelling 47 (2015), pp. 156-165
Persistent link: https://www.econbiz.de/10011439041
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Foreign exchange markets with Last Look
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012055750
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The probability of informed trading measured with price impact, price reversal, and volatility
Kitamura, Yoshihiro - In: Journal of international financial markets, … 42 (2016), pp. 77-90
Persistent link: https://www.econbiz.de/10011673417
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LSTM forecasting foreign exchange rates using limit order book
Ito, Katsuki; Iima, Hitoshi; Kitamura, Yoshihiro - In: Finance research letters 47 (2022) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10013455587
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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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The influence of intraday seasonality on volatility transmission pattern
Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
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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
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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
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Major currency ETFs and their associated spot and futures rates
Padungsaksawasdi, Chaiyuth; Parhizgari, Ali M. - In: Review of Pacific Basin financial markets and policies 20 (2017) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011779032