Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
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- Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1997.
"Is There Private Information in the FX Market? The Tokyo Experiment,"
NBER Working Papers
5936, National Bureau of Economic Research, Inc.
- Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1998. "Is There Private Information in the FX Market? The Tokyo Experiment," Journal of Finance, American Finance Association, vol. 53(3), pages 1111-1130, 06.
- Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco.
- Ito, T. & Lyons, R. & Melvin, M.T., 1997. "Is There Private Information on the FX Market? The Tokyo Experiment," Papers 97-04, Economisch Institut voor het Midden en Kleinbedrijf-.
- Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley.
- Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
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19-89, Wharton School Rodney L. White Center for Financial Research.
- de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
- Subrahmanyam, Avanidhar, 1991. "Risk Aversion, Market Liquidity, and Price Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 416-41.
- Nijman, T.E. & de Jong, F.C.J.M., 1997. "High frequency analysis of lead-lag relationships between financial markets," Other publications TiSEM f4f406a0-771a-4af2-9364-6, Tilburg University, School of Economics and Management.
- De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998. "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 5-27, February.
- Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
- deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
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