-
1
-
-
35648955067
-
Real-time price discovery in global stock, bond and foreign exchange marketsx
-
Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Marketsx." Journal of International Economics, 73(2007), pp. 251-277.
-
(2007)
Journal of International Economics
, vol.73
, pp. 251-277
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Vega, C.4
-
2
-
-
0030493177
-
Time-varying risk premia in the foreign currency futures basis
-
Baum, C. F., and J. Barkoulas. "Time-Varying Risk Premia in the Foreign Currency Future Basis." Journal of Futures Markets, 16(1996), pp. 735-755. (Pubitemid 126647739)
-
(1996)
Journal of Futures Markets
, vol.16
, Issue.7
, pp. 735-755
-
-
Baum, C.F.1
Barkoulas, J.2
-
3
-
-
17544382343
-
Market microstructure: A survey of microfoundations, empirical results, and policy implications
-
Biais, B., L. Glosten, and C. Spatt. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications." Journal of Financial Markets, 8(2005), pp. 217-264.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 217-264
-
-
Biais, B.1
Glosten, L.2
Spatt, C.3
-
4
-
-
13944282314
-
Liquidity provision in the overnight foreign exchange market
-
Bjonnes, G. H., D. Rime, and H. O. Solheim. "Liquidity Provision in the Overnight Foreign Exchange Market." Journal of International Money and Finance, 24(2005), pp. 175-196.
-
(2005)
Journal of International Money and Finance
, vol.24
, pp. 175-196
-
-
Bjonnes, G.H.1
Rime, D.2
Solheim, H.O.3
-
5
-
-
0033482257
-
Market transparency: Who wins and who loses?
-
Bloomfield, R., and M. O'Hara. "Market Transparency: Who Wins and Who Loses?" Review of Financial Studies, 12(1999), pp. 5-35.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 5-35
-
-
Bloomfield, R.1
O'Hara, M.2
-
6
-
-
10944267144
-
Price discovery in the U. S. treasury market: The impact of orderflow and liquidity on the yield curve
-
Brandt, M. W., and K. A. Kavajecz. "Price Discovery in the U. S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve." Journal of Finance, 59(2004), pp. 2623-2654.
-
(2004)
Journal of Finance
, vol.59
, pp. 2623-2654
-
-
Brandt, M.W.1
Kavajecz, K.A.2
-
7
-
-
77956331426
-
-
Chicago Mercantile Exchange CME Rulebook
-
Chicago Mercantile Exchange (CME) Rulebook. http://www.cmegroup.com/ tools-information/CMErulebook.html.
-
-
-
-
8
-
-
0036199559
-
Real trading patterns and prices in spot foreign exchange markets
-
Danielsson, J., and R. Payne. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets." Journal of International Money and Finance, 21(2002), pp. 203-222.
-
(2002)
Journal of International Money and Finance
, vol.21
, pp. 203-222
-
-
Danielsson, J.1
Payne, R.2
-
9
-
-
77956331026
-
Comment on jorion
-
J. Frankel et al., ed., University of Chicago Press
-
Dumas, B. "Comment on Jorion. " In J. Frankel et al., ed., The Microstructure of Foreign Exchange Markets. University of Chicago Press, 1996.
-
(1996)
The Microstructure of Foreign Exchange Markets
-
-
Dumas, B.1
-
10
-
-
0034553753
-
The accuracy of trade classification rules: Evidence from nasdaq
-
Ellis, K., R. Michaely, and M. O'Hara. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq." Journal of Financial and Quantitative Analysis, 35(2000), pp. 529-552.
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, pp. 529-552
-
-
Ellis, K.1
Michaely, R.2
O'Hara, M.3
-
11
-
-
77956306231
-
The microstructure of foreign exchange markets
-
Evans, M. D. D. "The Microstructure of Foreign Exchange Markets." Manuscript, 1998.
-
(1998)
Manuscript
-
-
Evans, M.D.D.1
-
12
-
-
0008605534
-
Fx trading and exchange rate dynamics
-
-. "FX Trading and Exchange Rate Dynamics." Journal of Finance, 57(2002), pp. 2405-2447.
-
(2002)
Journal of Finance
, vol.57
, pp. 2405-2447
-
-
-
14
-
-
0036187547
-
Order flow and exchange rate dynamics
-
-. "Order Flow and Exchange Rate Dynamics." Journal of Political Economy, 110 (2002b), pp. 170-180.
-
(2002)
Journal of Political Economy
, vol.110
, pp. 170-180
-
-
-
15
-
-
0036334367
-
Time-varying liquidity in foreign exchange
-
-. "Time-Varying Liquidity in Foreign Exchange." Journal of Monetary Economics, 49 (2002c), pp. 1025-1051.
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 1025-1051
-
-
-
16
-
-
77956298633
-
Exchange rate fundamentals and order flow
-
-. "Exchange Rate Fundamentals and Order Flow." Manuscript, 2004.
-
(2004)
Manuscript
-
-
-
17
-
-
77956305148
-
Meese-rogoff redux: Micro-based exchange rate forecasting
-
-. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting." NBER Working Paper No. 11042, 2005.
-
(2005)
NBER Working Paper No. 11042
-
-
-
18
-
-
13944249820
-
Customer trades and extreme events in foreign exchange
-
P. Mizen, ed., Edward Elgar
-
Fan, M., and R. K. Lyons. "Customer Trades and Extreme Events in Foreign Exchange." In P. Mizen, ed., Monetary History, Exchange Rates and Financial Markets: Essays in Honour of Charles Goodhart. Edward Elgar, 2003.
-
(2003)
Monetary History, Exchange Rates and Financial Markets: Essays in Honour of Charles Goodhart
-
-
Fan, M.1
Lyons, R.K.2
-
19
-
-
19944363145
-
Currency returns, intrinsic value, and institutional-investor flow
-
Froot, K. A., and T. Ramadorai. "Currency Returns, Intrinsic Value, and Institutional-Investor Flow." Journal of Finance, 60(2005), pp. 1535-1557.
-
(2005)
Journal of Finance
, vol.60
, pp. 1535-1557
-
-
Froot, K.A.1
Ramadorai, T.2
-
20
-
-
0001427588
-
Dominant and satellite markets: A study of dually-traded securities
-
Garbade, K. D., and W. L. Silber. "Dominant and Satellite Markets: A Study of Dually-Traded Securities." Review of Economics and Statistics, 61(1979), pp. 455-460.
-
(1979)
Review of Economics and Statistics
, vol.61
, pp. 455-460
-
-
Garbade, K.D.1
Silber, W.L.2
-
21
-
-
0000313261
-
Price movements and price discovery in futures and cash markets
-
-. "Price Movements and Price Discovery in Futures and Cash Markets." Review of Economics and Statistics, 65(1983), pp. 289-297.
-
(1983)
Review of Economics and Statistics
, vol.65
, pp. 289-297
-
-
-
22
-
-
0031539439
-
Calibrating an algorithm for estimating transactions from the FXFX exchange rate quotes
-
Goodhart, C. A. E., Y. Chang, and R. G. Payne. "Calibrating an Algorithm for Estimating Transactions from the FXFX Exchange Rate Quotes." Journal of International Money and Finance, 16(1997), pp. 921-930.
-
(1997)
Journal of International Money and Finance
, vol.16
, pp. 921-930
-
-
Goodhart, C.A.E.1
Chang, Y.2
Payne, R.G.3
-
23
-
-
84952524237
-
Estimation of common long-memory components in cointegrated systems
-
Gonzalo, J., and C. Granger. "Estimation of Common Long-Memory Components in Cointegrated Systems." Journal of Business and Economic Statistics, 13(1995), pp. 27-35.
-
(1995)
Journal of Business and Economic Statistics
, vol.13
, pp. 27-35
-
-
Gonzalo, J.1
Granger, C.2
-
24
-
-
0000731575
-
Trades, quotes, inventories, and information
-
Hasbrouck, J. "Trades, Quotes, Inventories, and Information. " Journal of Financial Economics, 22(1988), pp. 229-252.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 229-252
-
-
Hasbrouck, J.1
-
25
-
-
0001740585
-
The summary informativeness of stock trades: An econometric analysis
-
-. "The Summary Informativeness of Stock Trades: An Econometric Analysis." Review of Financial Studies, 4(1991), pp. 571-595.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 571-595
-
-
-
26
-
-
84993849369
-
One security, many markets: Determining the contributions to price discovery
-
-. "One Security, Many Markets: Determining the Contributions to Price Discovery." Journal of Finance, 50(1995), pp. 1175-1199.
-
(1995)
Journal of Finance
, vol.50
, pp. 1175-1199
-
-
-
27
-
-
3042630648
-
Liquidity in the futures pits: Inferring market dynamics from incomplete data
-
-. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data." Journal of Financial and Quantitative Analysis, 39(2004), pp. 305-326.
-
(2004)
Journal of Financial and Quantitative Analysis
, vol.39
, pp. 305-326
-
-
-
28
-
-
84977735715
-
Order arrival, quote behavior, and the return-generating process
-
Hasbrouck, J., and T. S. Y. Ho. "Order Arrival, Quote Behavior, and the Return-Generating Process." Journal of Finance, 42(1987), pp. 1035-1048.
-
(1987)
Journal of Finance
, vol.42
, pp. 1035-1048
-
-
Hasbrouck, J.1
Ho, T.S.Y.2
-
29
-
-
24044488269
-
Island goes dark: Transparency, fragmentation, and regulation
-
Hendershott, T., and C. M. Jones. "Island Goes Dark: Transparency, Fragmentation, and Regulation. " Review of Financial Studies, 18(2005), pp. 743-793.
-
(2005)
Review of Financial Studies
, vol.18
, pp. 743-793
-
-
Hendershott, T.1
Jones, C.M.2
-
32
-
-
84977730741
-
Inferring trade direction from intraday data
-
Lee, C. M. C., and M. J. Ready. "Inferring Trade Direction from Intraday Data." Journal of Finance, 46(1991), pp. 733-746.
-
(1991)
Journal of Finance
, vol.46
, pp. 733-746
-
-
Lee, C.M.C.1
Ready, M.J.2
-
33
-
-
84986358720
-
Intra-day futures price volatility-information effects and variance persistence
-
Locke, P. R., and C. L. Sayers. "Intra-Day Futures Price Volatility-Information Effects and Variance Persistence." Journal of Applied Econometrics, 8(1993), pp. 15-30.
-
(1993)
Journal of Applied Econometrics
, vol.8
, pp. 15-30
-
-
Locke, P.R.1
Sayers, C.L.2
-
35
-
-
0000215887
-
Market microstructure: A survey
-
Madhavan, A. "Market Microstructure: A Survey." Journal of Financial Markets, 3(2000), pp. 205-258.
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 205-258
-
-
Madhavan, A.1
-
36
-
-
0030495918
-
Life in the pits: Competitive market making and inventory control
-
Manaster, S., and S. C. Mann. "Life in the Pits: Competitive Market Making and Inventory Control." Review of Financial Studies, 9(1996), pp. 953-975. (Pubitemid 126318031)
-
(1996)
Review of Financial Studies
, vol.9
, Issue.3
, pp. 953-975
-
-
Manaster, S.1
Mann, S.C.2
-
37
-
-
0009239743
-
The inefficiency of reuters foreign exchange quotes
-
Martens, M., and P. Kofman. "The Inefficiency of Reuters Foreign Exchange Quotes." Journal of Banking and Finance, 22(1998), pp. 347-366.
-
(1998)
Journal of Banking and Finance
, vol.22
, pp. 347-366
-
-
Martens, M.1
Kofman, P.2
-
38
-
-
77956336025
-
The microstructure of bond market tatonnement
-
Mizrach, B., and C. J. Neeley. "The Microstructure of Bond Market Tatonnement." Manuscript, 2005.
-
(2005)
Manuscript
-
-
Mizrach, B.1
Neeley, C.J.2
-
39
-
-
0001166896
-
On the occurrence and consequences of inaccurate trade classification
-
Odders-White, E. R. "On the Occurrence and Consequences of Inaccurate Trade Classification. " Journal of Financial Markets, 3(2000), pp. 259-286.
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 259-286
-
-
Odders-White, E.R.1
-
40
-
-
33847646358
-
Imperfect competition, information heterogeneity, and financial contagion
-
Pasquariello, P. "Imperfect Competition, Information Heterogeneity, and Financial Contagion. " Review of Financial Studies, 20(2007), pp. 391-426.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 391-426
-
-
Pasquariello, P.1
-
41
-
-
84977717057
-
Intra-day arbitrage opportunities in foreign exchange and eurocurrency markets
-
Rhee, S. G., and R. P. Chang. "Intra-Day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets." Journal of Finance, 47(1992), pp. 363-379.
-
(1992)
Journal of Finance
, vol.47
, pp. 363-379
-
-
Rhee, S.G.1
Chang, R.P.2
-
43
-
-
34249031086
-
New electronic trading systems in foreign exchange markets
-
D. C. Jones, ed., Elsevier
-
-. "New Electronic Trading Systems in Foreign Exchange Markets." In D. C. Jones, ed., New Economy Handbook. Elsevier, 2003.
-
(2003)
New Economy Handbook
-
-
-
45
-
-
0000728598
-
Covered interest parity: A high-frequency, high-quality data study
-
Taylor, M. P. "Covered Interest Parity: A High-Frequency, High-Quality Data Study." Economica, 54(1987), pp. 429-438.
-
(1987)
Economica
, vol.54
, pp. 429-438
-
-
Taylor, M.P.1
-
46
-
-
0001436003
-
Covered interest arbitrage and market turbulence
-
-. "Covered Interest Arbitrage and Market Turbulence." Economic Journal, 99(1989), pp. 376-391.
-
(1989)
Economic Journal
, vol.99
, pp. 376-391
-
-
|