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 …

The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a … new approach to the analysis of exchange rates. The most important variable of the microstructure analysis, the so … data, but also at longer time horizons that are relevant for macro-economic analysis. Microstructure theory is thus …