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Microstructure theory and the foreign exchange market

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  • Mark D. Flood
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    File URL: http://research.stlouisfed.org/publications/review/91/11/Microstructure_Nov_Dec1991.pdf
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    Article provided by Federal Reserve Bank of St. Louis in its journal Review.

    Volume (Year): (1991)
    Issue (Month): Nov ()
    Pages: 52-70

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    Handle: RePEc:fip:fedlrv:y:1991:i:nov:p:52-70

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    Keywords: Foreign exchange ; Microeconomics;

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    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.:
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    1. Barnea, Amir, 1974. "Performance Evaluation of New York Stock Exchange Specialists," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 9(04), pages 511-535, September.
    2. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(4), pages 353-364, December.
    3. Beja, Avraham & Hakansson, Nils H, 1977. "Dynamic Market Processes and the Rewards to Up-to-Date Information," Journal of Finance, American Finance Association, American Finance Association, vol. 32(2), pages 291-304, May.
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    Cited by:
    1. 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, Elsevier, vol. 23(5), pages 801-824, May.
    2. Richard K. Lyons., 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," Research Program in Finance Working Papers, University of California at Berkeley RPF-231, University of California at Berkeley.
    3. Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance, EconWPA 0409040, EconWPA.
    4. Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(5), pages 760-779, August.
    5. 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.
    6. 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.
    7. 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, Wharton School Center for Financial Institutions, University of Pennsylvania 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Törbjörn 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.
    9. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance, EconWPA 0405018, EconWPA.
    10. Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, Elsevier, vol. 56(1), pages 29-64, April.
    11. 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.
    12. 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.
    13. 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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