Microstructure theory and the foreign exchange market
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Federal Reserve Bank of St. Louis in its journal Review.
Volume (Year): (1991)
Issue (Month): Nov ()
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
- Barnea, Amir, 1974. "Performance Evaluation of New York Stock Exchange Specialists," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(04), pages 511-535, September.
- Beja, Avraham & Hakansson, Nils H, 1977. "Dynamic Market Processes and the Rewards to Up-to-Date Information," Journal of Finance, American Finance Association, vol. 32(2), pages 291-304, May.
- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
- Cornelis A. Los, 2004.
"Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets,"
- 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.
- Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 760-779, August.
- Richard K. Lyons, 1993.
"Optimal Transparency in a Dealership Market with an Application to Foreign Exchange,"
NBER Working Papers
4467, National Bureau of Economic Research, Inc.
- Richard K. Lyons., 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," Research Program in Finance Working Papers RPF-231, University of California at Berkeley.
- Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007.
"The impact of Central Bank intervention on exchange rate forecasts heterogeneity,"
ULB Institutional Repository
2013/10423, ULB -- Universite Libre de Bruxelles.
- Beine, Michel & Benassy-Quere, Agnes & MacDonald, Ronald, 2007. "The impact of central bank intervention on exchange-rate forecast heterogeneity," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 38-63, March.
- Michel Beine & Agnès Bénassy-Quéré & Estelle Dauchy & Ronald MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," Working Papers 2002-04, CEPII research center.
- M. Beine & A. Bénassy-Quéré & E. Dauchy & R. MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," THEMA Working Papers 2002-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
- 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.
- TÃ¶rbjÃ¶rn I. Becker & Amadou N. R. Sy, 2005.
"Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?,"
IMF Working Papers
05/34, International Monetary Fund.
- Becker, Torbjorn & Sy, Amadou, 2006. "Were bid-ask spreads in the FX market excessive during the Asian crisis?," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 434-449.
- Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, vol. 56(1), pages 29-64, April.
- Victoria Saporta, 1997. "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England.
- David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001.
"The Effect of Transaction Size on Off-the-Run Treasury Prices,"
Center for Financial Institutions Working Papers
01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 595-611, September.
- Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Rosenberger).
If references are entirely missing, you can add them using this form.