support to its managed floating exchange rate regime. I develop a microstructure model suitable to describe the Brazilian FX … relative to previous microstructure models. First, dealers may decide to hold overnight positions in the FX market if they find …

Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of …

and a microstructure model. The model puts forward three results. First, simulations replicate stylised facts observed in …. Incoming information is distorted by behavioural noise and microstructure noise. Thirdly, order flows models of exchange rate … varying weight of fundamental information, behavioural information and microstructure information while traditional models …

and a microstructure model. The model puts forward three results. First, simulations replicate stylised facts observed in …. Incoming information is distorted by behavioural noise and microstructure noise. Thirdly, order flows models of exchange rate … varying weight of fundamental information, behavioural information and microstructure information while traditional models …

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 …

is essentially zero. Instead of relying on macroeconomic determinants, our model includes a concept from microstructure … order flow. Order flow is the proximate determinant of price in all microstructure models. We explain aggregate equity …

in return volatility after the series of bankruptcies. From the microstructure analysis, it is found that the change in …