Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data
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- Stenfors, Alexis & Susai, Masayuki, 2019. "Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 36-57.
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- Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
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More about this item
Keywords
market microstructure; limit order book; foreign exchange; high-frequency trading; algorithmic trading;All these keywords.
JEL classification:
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- F3 - International Economics - - International Finance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2017-06-25 (Market Microstructure)
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