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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

Monetary policy announcement and algorithmic news trading in the foreign exchange market

Goshima, Keiichi; Kumano, Yusuke - 2018

Persistent link: https://www.econbiz.de/10013447834

Judgement day : algorithmic trading around the Swiss franc cap removal

Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

Persistent link: https://www.econbiz.de/10011906367

Price discovery and liquidity recovery : forex market reactions to macro announcements

Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013417335

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

Monetary policy announcements and algorithmic news trading in the foreign exchange market

Goshima, Keiichi; Kumano, Yusuke - In: Monetary and economic studies 37 (2019), pp. 71-98

Persistent link: https://www.econbiz.de/10012140430

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012703265

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

Persistent link: https://www.econbiz.de/10012037341

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012172721

Forecasting and trading high frequency volatility on large indices

Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748

Persistent link: https://www.econbiz.de/10011907914

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