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Profits and speculation in intra-day foreign exchange trading
16 references·1 citing·45 second hop
Profits and speculation in intra-day foreign exchange trading (2006)Profits and speculation in intra-day fore…The Purchasing Power Parity Debate (2004)The Purchasing Power Parity D…Dealer behavior and trading systems in foreign exchange markets (2004)Dealer behavior and trading s…Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Correcting the Errors: Volati…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Market microstructure: A survey (2000)Market microstructure: A surv…Bank for International Settlements (BIS) (2000)Bank for International Settle…Is There Private Information in the FX Market? The Tokyo Experiment (1998)Is There Private Information …The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Empirical research on nominal exchange rates (1995)Empirical research on nominal…A Bayesian model of intraday specialist pricing (1991)A Bayesian model of intraday …The Foreign Exchange Market: A Random Walk with a Dragging Anchor (1988)The Foreign Exchange Market: …Foreign Exchange Market Structure, Players and Evolution (2011)Foreign Exchange Market Struc…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)The Informational Role of Stock and Option Volume (2002)Should securities markets be transparent? (2005)Analyst Disagreement, Mispricing, and Liquidity* (2007)Expectations and Exchange Rate Dynamics (1976)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Gravity with Gravitas: A Solution to the Border Puzzle (2003)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The VAT in Developing and Transitional Countries (2007)Identifying FDI spillovers (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)Comparing Predictive Accuracy (1994)Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamentals (2005)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)A multiple indicators model for volatility using intra-daily data (2005)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Safe Haven Currencies (2010)Mixed MNL models for discrete response (2000)Discrete Choice Methods with Simulation (2001)
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References

  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2000Market microstructure: A survey1,133 cited
  • 2004The Purchasing Power Parity Debate1,034 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1991A Bayesian model of intraday specialist pricing336 cited
  • 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited
  • 1998Is There Private Information in the FX Market? The Tokyo Experiment279 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 2000Bank for International Settlements (BIS)260 cited
  • 1988The Foreign Exchange Market: A Random Walk with a Dragging Anchor

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255 cited
  • 2004Dealer behavior and trading systems in foreign exchange markets239 cited
  • Cited by

    • 2011Foreign Exchange Market Structure, Players and Evolution27 cited