Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
AbstractThis paper uses Reuters exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models as well as models in tick time to study the dynamic relations between the quotes of individual banks. We investigate the hypothesis that German banks are price leaders in the deutschmark/dollar market.
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Bibliographic InfoPaper provided by Southern California - School of Business Administration in its series Papers with number 99-56.
Length: 35 pages
Date of creation: 1999
Date of revision:
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Postal: University of Southern California, School of BusinessAdministration, Los Angeles, CA 90089-1421.
Web page: http://www.marshall.usc.edu/
More information through EDIRC
EXCHANGE RATE ; ESTIMATOR ; REGRESSION ANALYSIS;
Other versions of this item:
- Frank de Jong & Ronald Mahieu & Peter Schotman & Irma van Leeuwen, 1999. "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Tinbergen Institute Discussion Papers 99-032/2, Tinbergen Institute.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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