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Customer trades and extreme events in foreign exchange
16 references·6 citing·45 second hop
Customer trades and extreme events in foreign exchange (2003)Customer trades and extreme events in for…Fixed versus flexible: Lessons from EMS order flow (2006)Fixed versus flexible: Lesson…The use of flow analysis in foreign exchange: exploratory evidence (2004)The use of flow analysis in f…Contagion in Emerging Markets: When Wall Street is a Carrier (2004)Contagion in Emerging Markets…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Currency Orders and Exchange …The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…‘Once-in-a-generation’ yen volatility in 1998: fundamentals, intervention, and order flow (2001)‘Once-in-a-generation’ yen vo…Risk management with interdependent choice (1999)Risk management with interdep…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …High frequency data in financial markets: Issues and applications (1997)High frequency data in financ…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System (1995)One Day in June 1993: A Study…News and the Foreign Exchange Market (1991)News and the Foreign Exchange…Every minute counts in financial markets (1991)Every minute counts in financ…The Foreign Exchange Market: A Random Walk with a Dragging Anchor (1988)The Foreign Exchange Market: …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Order flow in the South: Anatomy of the Brazilian FX market (2012)Order flow in the South: Anat…Market Microstructure, Foreign Exchange (2009)Market Microstructure, Foreig…Profits and speculation in intra-day foreign exchange trading (2006)Profits and speculation in in…Price Discovery in the Foreign Currency Futures and Spot Market (2006)Price Discovery in the Foreig…Price Discovery in Currency Markets (2006)Price Discovery in Currency M…Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure (2003)Tobin Tax Effects Seen from t…Expectations and Exchange Rate Dynamics (1976)Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)An empirical examination of long-run purchasing power parity using cointegration techniques (1988)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Agent-based computational finance: Suggested readings and early research (2000)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)The Behavior of Stock-Market Prices (1965)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)On covariance estimation of non-synchronously observed diffusion processes (2005)Price discovery on Bitcoin exchanges (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Testing for a Unit Root in Time Series Regression (1988)Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Public Information Arrival, Exchange Rate Volatility, and Quote Frequency (2000)Exchange rate puzzles: A tale of switching attractors (2004)Empirical exchange rate models of the seventies (1983)A Theory of Intraday Patterns: Volume and Price Variability (1988)Measuring Treasury Market Liquidity (2001)Dealer behavior and trading systems in foreign exchange markets (2004)The Limits of Arbitrage (1995)What really causes large price changes? 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this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1997High frequency data in financial markets: Issues and applications411 cited
  • 2004Contagion in Emerging Markets: When Wall Street is a Carrier350 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 1988The Foreign Exchange Market: A Random Walk with a Dragging Anchor255 cited
  • 2003Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis227 cited
  • 1991Every minute counts in financial markets189 cited
  • 2001‘Once-in-a-generation’ yen volatility in 1998: fundamentals, intervention, and order flow145 cited
  • 2006Fixed versus flexible: Lessons from EMS order flow124 cited
  • 1999Risk management with interdependent choice119 cited
  • 1995One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System94 cited
  • 2004The use of flow analysis in foreign exchange: exploratory evidence

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80 cited
  • 1991News and the Foreign Exchange Market78 cited
  • Cited by

    • 2006Price Discovery in Currency Markets39 cited
    • 2006Price Discovery in the Foreign Currency Futures and Spot Market37 cited
    • 2006Profits and speculation in intra-day foreign exchange trading30 cited
    • 2009Market Microstructure, Foreign Exchange26 cited
    • 2003Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure25 cited
    • 2012Order flow in the South: Anatomy of the Brazilian FX market24 cited