Informativeness of trade size in foreign exchange markets
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DOI: 10.1016/j.econlet.2016.11.010
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Other versions of this item:
- Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2017. "Informativeness of trade size in foreign exchange markets," Economics Letters, Elsevier, vol. 150(C), pages 27-33.
References listed on IDEAS
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Citations
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Cited by:
- Cui, Zhenyu & Taylor, Stephen, 2020. "Arbitrage detection using max plus product iteration on foreign exchange rate graphs," Finance Research Letters, Elsevier, vol. 35(C).
- Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
- Sensoy, Ahmet & Serdengeçti, Süleyman, 2019.
"Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market,"
International Review of Financial Analysis, Elsevier, vol. 64(C), pages 1-12.
- Suleyman Serdengecti & Ahmet Sensoy, 2019. "Intraday Volume-Volatility Nexus in the FX Markets: Evidence from an Emerging Market," Working Papers 1928, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Tahara, Hiroki, 2020. "On the Applicability of the Black-Scholes Model to the Inverse Quantity of Price (Under Peer-Review)," OSF Preprints fgnca, Center for Open Science.
- Nihad Aliyev & Xue-Zhong He, 2017. "Ambiguous Market Making," Research Paper Series 383, Quantitative Finance Research Centre, University of Technology, Sydney.
- Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
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More about this item
JEL classification:
- F3 - International Economics - - International Finance
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
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