Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

Journal of International Money and Finance

Volumn 16, Issue 6, 1997, Pages 921-930

  Goodhart, Charles ^a   Chang, Yuanchen ^b   Payne, Richard ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031539439     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(97)00013-2     Document Type: Article

References (5)

1. Bollerslev, T. and Domowitz, I. (1993) Trading patterns and prices in theinterbank foreign exchange market. Journal of Finance 48, 1421-1444.
2. Flood, M. (1991) Microstructure theory and the foreign exchangemarket. Federal Reserve Bank of St. Louis Review 73, 52-70.
3. Goodhart, C., Ito, T. and Payne, R. (1996) One day in June 1993: a study of the workings of Reuters D2000-2 electronic foreign exchange trading system. In. The Microstructure of Foreign Exchange Markets, eds. J. Frankel, G. Galli and A. Giovannini. University of Chicago Press, Chicago.
4. Goodhart, C. and Payne, R. (1996) Microstructural dynamics in a foreign exchange electronic broking system. Journal of International Money and Finance 15, 829-852.
5. Lyons, R. (1995) Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics 39, 321-351.