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New Perspective on FX Markets: Order‐Flow Analysis
16 references·5 citing·46 second hop
New Perspective on FX Markets: Order‐Flow Analysis (2001)New Perspective on FX Markets: Order‐Flow…Contagion in Emerging Markets: When Wall Street is a Carrier (2004)Contagion in Emerging Markets…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…The emergence of the euro as an international currency (1998)The emergence of the euro as …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Exchange Rate Economics (1996)Exchange Rate EconomicsTests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Empirical research on nominal exchange rates (1995)Empirical research on nominal…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…Fixing Exchange Rates: A Virtual Quest for Fundamentals (1993)Fixing Exchange Rates: A Virt…Does foreign-exchange intervention matter? The portfolio effect (1993)Does foreign-exchange interve…The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Currency Fluctuations in the Post-Bretton Woods Era (1990)Currency Fluctuations in the …The Specification and Influence of Asset Markets (1984)The Specification and Influen…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar (2020)News will tell: Forecasting f…FX technical trading rules can be profitable sometimes! (2017)FX technical trading rules ca…Modelling Naira/Dollar Exchange Rate Volatility: Application Of Garch And Assymetric Models (2009)Modelling Naira/Dollar Exchan…Modelling and Forecasting Exchange Rate Dynamics: An Application of Asymmetric Volatility Models (2004)Modelling and Forecasting Exc…Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure (2003)Tobin Tax Effects Seen from t…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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(2001)Heterogeneous Agent Models in Economics and Finance (2005)A Theory of Auctions and Competitive Bidding (1982)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Order Flow and Exchange Rate Dynamics (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)Filter Rules and Stock-Market Trading (1966)Anomalies: Foreign Exchange (1990)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)High frequency data in financial markets: Issues and applications (1997)Agent-based computational finance: Suggested readings and early research (2000)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)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)Inferring Trade Direction from Intraday Data (1991)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)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1993Fixing Exchange Rates: A Virtual Quest for Fundamentals613 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach472 cited
  • 1993Does foreign-exchange intervention matter? The portfolio effect385 cited
  • 1984The Specification and Influence of Asset Markets367 cited
  • 2004Contagion in Emerging Markets: When Wall Street is a Carrier350 cited
  • 1998The emergence of the euro as an international currency327 cited
  • 1996Exchange Rate Economics296 cited

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  • 1990Currency Fluctuations in the Post-Bretton Woods Era284 cited
  • Cited by

    • 2020News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar35 cited
    • 2009Modelling Naira/Dollar Exchange Rate Volatility: Application Of Garch And Assymetric Models33 cited
    • 2017FX technical trading rules can be profitable sometimes!32 cited
    • 2004Modelling and Forecasting Exchange Rate Dynamics: An Application of Asymmetric Volatility Models30 cited
    • 2003Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure25 cited