Dynamics of quote and deal prices in the foreign exchange market
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DOI: 10.1007/s11403-008-0033-7
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References listed on IDEAS
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Cited by:
- Lin William Cong & Xi Li & Ke Tang & Yang Yang, 2023.
"Crypto Wash Trading,"
Management Science, INFORMS, vol. 69(11), pages 6427-6454, November.
- Lin William Cong & Xi Li & Ke Tang & Yang Yang, 2021. "Crypto Wash Trading," Papers 2108.10984, arXiv.org.
- Lin William Cong & Xi Li & Ke Tang & Yang Yang, 2022. "Crypto Wash Trading," NBER Working Papers 30783, National Bureau of Economic Research, Inc.
- Mehdi Lallouache & Frédéric Abergel, 2014. "Tick size reduction and price clustering in a FX order book," Post-Print hal-01006414, HAL.
- Tsuruhiko Nambu & Takaaki Ohnishi, 2010. "The dynamics and distribution of the area price in the Nord Pool," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 181-189, December.
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More about this item
Keywords
Econophysics; Foreign exchange market; Power-law distribution; Anomalous diffusion; C10; C16; D40; G10;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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