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Real trading volume and price action in the foreign exchange markets
Lequeux, Pierre - In: Forecasting volatility in the financial markets, (pp. 187-199). 2007
Persistent link: https://www.econbiz.de/10003872907
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The role of information arrival for the Australian dollar trading volume and volatility
Kim, Suk-Joong; McKenzie, Michael D.; Di Amy Shi - In: Investment management and financial innovations 11 (2014) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10010514157
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Volume and volatility in foreign exchange market microstrucutre : a Markov switching approach
Khemiri, Rim - In: Applied financial economics 22 (2012) 13/15, pp. 1121-1133
Persistent link: https://www.econbiz.de/10009625405
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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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Volume and volatility in the FX-market : does it matter who you are?
Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002
The relationship between volume and volatility has received much attention in the the literature of financial markets … the impact of volume on volatility in the the FX-market using a unique data set of daily trading in the Swedish krona (SEK … depict a positive correlation with volatility. However, the strength of the relationship depends on the instrument used and …
Persistent link: https://www.econbiz.de/10011539127
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Trading volume and exchange rate volatility : evidence for the sequential arrival of information hypothesis
Mougoué, Mbodja; Aggarwal, Raj - In: Journal of banking & finance 35 (2011) 10, pp. 2690-2703
Persistent link: https://www.econbiz.de/10009273268
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The efficiency of the information processing in the Australian dollar market : price discovery following scheduled and unscheduled news
Daniel, Lawrence; Kim, Suk-Joong; McKenzie, Michael D. - In: International review of financial analysis 32 (2014), pp. 159-178
Persistent link: https://www.econbiz.de/10010461296
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Volume and volatility in the foreign exchange market : does it matter who you are?
Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - In: Exchange rate economics : where do we stand?, (pp. 39-62). 2005
Persistent link: https://www.econbiz.de/10002836039
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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 persistent. The positive correlation between volume and volatility does not …
Persistent link: https://www.econbiz.de/10002637105
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The high-frequency effects of US macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market
Chaboud, Alain P.; Chernenko, Sergey V.; Howorka, Edward; … - 2004
Persistent link: https://www.econbiz.de/10002515848