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Connecting equity and foreign exchange markets through the WM "Fix" : a trading strategy
Sheth, Arnav; Teeple, Keisuke - In: The journal of investment strategies 8 (2019) 4, pp. 33-53
Persistent link: https://www.econbiz.de/10012426140
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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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The value of millisecond expiry options in spot foreign exchange markets
Stevenson, John - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 85-89
Persistent link: https://www.econbiz.de/10011673807
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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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The optimal strategies of competitive high-frequency traders and effects on market liquidity
Ge, Hengshun; Yang, Haijun; Doukas, John A. - In: International review of economics & finance : IREF 91 (2024), pp. 653-679
Persistent link: https://www.econbiz.de/10014492246
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The submission of limit orders or market orders : the role of timing and information in the Reuters D2000-2 system
Lo, Ingrid; Sapp, Stephen G. - In: Journal of international money and finance 27 (2008) 7, pp. 1056-1073
Persistent link: https://www.econbiz.de/10003780682
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Were bid-ask spreads in the FX market excessive during the Asian crisis?
Becker, Torbjörn; Sy, Amadou N. R. - In: International review of financial analysis 15 (2006) 4/5, pp. 434-449
Persistent link: https://www.econbiz.de/10003377256
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Bid-ask spread dynamics in foreign exchange markets
Chelley-Steeley, Patricia L.; Tsorakidis, Nikos - In: International review of financial analysis 29 (2013), pp. 119-131
Persistent link: https://www.econbiz.de/10010244120
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Asymmetric responses of ask and bid quotes to information in the foreign exchange market
Chen, Yu-lun; Gau, Yin-feng - In: Journal of banking & finance 38 (2014), pp. 194-204
Persistent link: https://www.econbiz.de/10010340779