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Strategic trading in a two-sided foreign exchange auction1

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  • Goldberg, Linda
  • Tenorio, Rafael

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  • Goldberg, Linda & Tenorio, Rafael, 1997. "Strategic trading in a two-sided foreign exchange auction1," Journal of International Economics, Elsevier, vol. 42(3-4), pages 299-326, May.
    • Handle: RePEc:eee:inecon:v:42:y:1997:i:3-4:p:299-326
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    1. Goldberg, Linda S. & Karimov, Il'dar, 1997. "Black markets for currency, hoarding activity and policy reforms," Journal of International Economics, Elsevier, vol. 42(3-4), pages 349-369, May.
    2. Gács, János & Peck, Merton & Illarionov, Andrei & Havlik, Peter & Kuboniva, Masaaki & Panitch, Vladimir & Sutela, Pekka & Lányi, Kamilla & Bulantsev, Vsevolod & Goldberg, Linda & Tenorio, Rafael & De , 1995. "International Trade Issues of the Russian Federation," MPRA Paper 60426, University Library of Munich, Germany.
    3. Mr. Arto Kovanen, 1994. "Foreign Exchange Auctions and Fixing: A Review of Performance," IMF Working Papers 1994/119, International Monetary Fund.
    4. Walker, Donald A, 1972. "Competitive Tatonnement Exchange Markets," Kyklos, Wiley Blackwell, vol. 25(2), pages 345-363.
    5. Madhavan, Ananth, 1992. "Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    6. Linda S. Goldberg, 1993. "Foreign Exchange Markets in Russia: Understanding the Reforms," IMF Staff Papers, Palgrave Macmillan, vol. 40(4), pages 852-864, December.
    7. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
    8. William Vickrey, 1961. "Counterspeculation, Auctions, And Competitive Sealed Tenders," Journal of Finance, American Finance Association, vol. 16(1), pages 8-37, March.
    9. Linda Goldberg & Rafael Tenorio, 1995. "Strategic Trading in a Two-Sided Foreign Exchange Auction," NBER Working Papers 5187, National Bureau of Economic Research, Inc.
    10. Roberts, Donald John & Postlewaite, Andrew, 1976. "The Incentives for Price-Taking Behavior in Large Exchange Economies," Econometrica, Econometric Society, vol. 44(1), pages 115-127, January.
    11. Bulow, Jeremy & Klemperer, Paul, 1994. "Rational Frenzies and Crashes," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 1-23, February.
    12. Robert A. Feldman & Rajnish Mehra, 1993. "Auctions: Theory and Applications," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 485-511, September.
    13. Goldberg, Linda S., 1995. "Exchange rate regime reforms with black market leakages," Journal of Development Economics, Elsevier, vol. 48(1), pages 167-187, October.
    14. Rajnish Mehra & Mr. Robert A Feldman, 1993. "Auctions: Theory and Possible Applications to Economies in Transition," IMF Working Papers 1993/012, International Monetary Fund.
    15. Kyong Mo Huh & Ms. Benedicte Vibe Christensen & Peter J. Quirk & Toshihiko Sasaki, 1987. "Floating Exchange Rates in Developing Countries: Experience with Auction and Interbank Markets," IMF Occasional Papers 1987/004, International Monetary Fund.
    16. Friedman, Daniel & Ostroy, Joseph, 1995. "Competitivity in Auction Markets: An Experimental and Theoretical Investigation," Economic Journal, Royal Economic Society, vol. 105(428), pages 22-53, January.
    17. Patrick Joyce, 1984. "The Walrasian Tâtonnement Mechanism and Information," RAND Journal of Economics, The RAND Corporation, vol. 15(3), pages 416-425, Autumn.
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    Cited by:

    1. Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 557-574, February.
    2. Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016. "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 109-118.
    3. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
    4. Rafael Romeu & Lawrence Ausubel, 2005. "Bidder Participation and Information in Currency Auctions," IMF Working Papers 2005/157, International Monetary Fund.
    5. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    6. Richard K. Lyons, 2002. "Foreign exchange: macro puzzles, micro tools," Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
    7. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
    8. Jing Yang & Nikola Gradojevic, 2006. "Non-linear, non-parametric, non-fundamental exchange rate forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 227-245.
    9. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    10. Salazar-Garza, Ricardo, 2012. "The Mexican Peso: Exchange Risk Coverage Management through the Forgotten Effects Theory," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 17(32), pages 53-73.
    11. Menkhoff, Lukas & Schmeling, Maik, 2008. "Local information in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.

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