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Micro Approaches to Foreign Exchange Determination

Evans, Martin D.D. - 2011

Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro exchange-rate models play little attention to how trading in the FX market...

Persistent link: https://www.econbiz.de/10013119949

Order Flows and the Exchange Rate Disconnect Puzzle

Evans, Martin D.D. - 2011

The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in the macroeconomy. To do so, I first present a theoretical model of exchange-rate determination that bridges the gap between existing microstructure and traditional...

Persistent link: https://www.econbiz.de/10013131076

Microstructure of Foreign Exchange Markets

Evans, Martin D.D. - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...

Persistent link: https://www.econbiz.de/10012891430

Exchange Rate Response to Macronews : Through the Lens of Microstructure

Savaser, Tanseli - 2013

This study investigates the microeffects of macronews using customer price-contingent orders (i.e. stop-loss and take-profit orders) data from a large foreign exchange dealing bank in the pound/dollar market. Results reveal that price-contingent order placement intensifies 3-5 h prior to the...

Persistent link: https://www.econbiz.de/10013088364

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

The Microstructure of Currency Markets

Evans, Martin D.D. - 2011

This article summarizes exchange-rate research using microstructure models. It first lays out the key features of the foreign exchange market and describes how they are incorporated into a canonical model of currency trading. The empirical implications of the model are then examined. The article...

Persistent link: https://www.econbiz.de/10013131078

Exchange Rates, Interest Rates and the Global Carry Trade

Evans, Martin D.D. - 2017

We empirically examine how the global carry trade affects the dynamics of spot exchange rates and interest rates across 13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry trade position in each currency by matching data on...

Persistent link: https://www.econbiz.de/10012952450

Exchange Rates, Interest Rates and the Global Carry Trade

Evans, Martin D.D. - 2017

Persistent link: https://www.econbiz.de/10012945052

Front-Running and Collusion in Forex Trading

Evans, Martin D.D. - 2019

This paper examines the market-wide effects of front-running and information-sharing by dealers in a quantitative microstructure model of Forex trading. Recent investigations by government regulators and court proceedings reveal that there has been widespread sharing of information among Forex...

Persistent link: https://www.econbiz.de/10012869421

Micro approaches to foreign exchange determination

Evans, Martin D. D.; Rime, Dagfinn - 2011

Persistent link: https://www.econbiz.de/10009006703

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