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Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

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Author Info

  • Goodhart, Charles
  • Chang, Yuanchen
  • Payne, Richard

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3SX4MG9-7/2/5f25212d2cb109602ec701cf47b0acfd
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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 16 (1997)
Issue (Month): 6 (December)
Pages: 921-930

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Handle: RePEc:eee:jimfin:v:16:y:1997:i:6:p:921-930

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Web page: http://www.elsevier.com/locate/inca/30443

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References

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  1. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
  2. Mark D. Flood, 1991. "Microstructure theory and the foreign exchange market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70.
  3. Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 829-852, December.
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Cited by:
  1. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  2. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
  3. Los, Cornelis A., 1999. "Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 265-289, November.
  4. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  5. Martens, Martin & Kofman, Paul, 1998. "The inefficiency of Reuters foreign exchange quotes," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 347-366, March.

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