Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
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As found by EconAcademics.org, the blog aggregator for Economics research:- In praise of belief in efficient markets
by chris dillow in Stumbling and Mumbling on 2009-02-13 17:14:47
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Cited by:
- Evans, Kevin & Speight, Alan, 2010. "International macroeconomic announcements and intraday euro exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 24(4), pages 552-568, December.
- Zapart, Christopher A., 2015. "Econophysics: A challenge to econometricians," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 318-327.
- Rechenthin, Michael & Street, W. Nick, 2013. "Using conditional probability to identify trends in intra-day high-frequency equity pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6169-6188.
- Schmidt, Anatoly B., 2009. "Detrending the realized volatility in the global FX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(9), pages 1887-1892.
More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2008-07-14 (All new papers)
- NEP-CBA-2008-07-14 (Central Banking)
- NEP-FMK-2008-07-14 (Financial Markets)
- NEP-IFN-2008-07-14 (International Finance)
- NEP-MST-2008-07-14 (Market Microstructure)
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