Microstructure theory and the foreign exchange market
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Bibliographic InfoArticle provided by Federal Reserve Bank of St. Louis in its journal Review.
Volume (Year): (1991)
Issue (Month): Nov ()
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Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
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- TÃ¶rbjÃ¶rn I. Becker & Amadou N. R. Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 05/34, International Monetary Fund.
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- Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 7(3), pages 203-229, October.
- Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(6), pages 829-852, December.
- Goodhart, Charles & Chang, Yuanchen & Payne, Richard, 1997. "Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(6), pages 921-930, December.
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