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Microstructure theory and the foreign exchange market

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  • Mark D. Flood

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  • Mark D. Flood, 1991. "Microstructure theory and the foreign exchange market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70.
    • Handle: RePEc:fip:fedlrv:y:1991:i:nov:p:52-70
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    References listed on IDEAS

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    1. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
    2. Barnea, Amir, 1974. "Performance Evaluation of New York Stock Exchange Specialists," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(4), pages 511-535, September.
    3. Beja, Avraham & Hakansson, Nils H, 1977. "Dynamic Market Processes and the Rewards to Up-to-Date Information," Journal of Finance, American Finance Association, vol. 32(2), pages 291-304, May.
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    Citations

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    Cited by:

    1. Beine, Michel & Benassy-Quere, Agnes & MacDonald, Ronald, 2007. "The impact of central bank intervention on exchange-rate forecast heterogeneity," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 38-63, March.
    2. 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, vol. 23(5), pages 801-824, May.
    3. 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, vol. 16(6), pages 921-930, December.
    4. Mr. Torbjorn I. Becker & Mr. Amadou N Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 2005/034, International Monetary Fund.
    5. Los, Cornelis A., 1999. "Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 265-289, November.
    6. Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.
    7. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 595-611, September.
    8. Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 760-779, August.
    9. Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
    10. Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 829-852, December.
    11. 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.
    12. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
    13. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
    14. Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, vol. 56(1), pages 29-64, April.

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    Keywords

    Foreign exchange; Microeconomics;

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