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Exchange rate response to macronews: Through the lens of microstructure
16 references·1 citing·48 second hop
Exchange rate response to macronews: Through the lens of microstructure (2010)Exchange rate response to macronews: Thro…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Currency Orders and Exchange …Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation (2001)Price Impact Asymmetry of Blo…Currency traders and exchange rate dynamics: a survey of the US market (2001)Currency traders and exchange…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)Optimal Dynamic Order Submiss…The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Short-Run Dynamics of the…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Bid-ask spreads in the interbank foreign exchange markets (1994)Bid-ask spreads in the interb…What Moves Stock Prices? (1988)What Moves Stock Prices?Economic news, exchange rates and interest rates (1988)Economic news, exchange rates…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Orange Juice and Weather (1984)Orange Juice and WeatherMarket Microstructure, Foreign Exchange (2009)Market Microstructure, Foreig…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)When financial markets work too well: A cautious case for a securities transactions tax (1989)Combinatorial Information Market Design (2003)CO2 Prices, Energy and Weather (2007)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Price Dynamics in Limit Order Markets (1998)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)How Markets Process Information: News Releases and Volatility (1993)The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Jumps, cojumps and macro announcements (2010)Expectations and Exchange Rate Dynamics (1976)Noise Trader Risk in Financial Markets (1990)Information Markets and the Comovement of Asset Prices (2006)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Manipulation and the Allocational Role of Prices (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)Empirical exchange rate models of the seventies (1983)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1986Stock return variances1,813 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1984Orange Juice and Weather540 cited
  • 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
  • 1995The Short-Run Dynamics of the Price Adjustment to New Information297 cited
  • 1998Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems281 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 2003Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis227 cited
  • 1988Economic news, exchange rates and interest rates212 cited
  • 1994Bid-ask spreads in the interbank foreign exchange markets211 cited

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  • 2001Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation211 cited
  • Cited by

    • 2009Market Microstructure, Foreign Exchange26 cited