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High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature
16 references·2 citing·46 second hop
High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature (2015)High Frequency Analysis of Macro News Rel…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…News announcements and price discovery in foreign exchange spot and futures markets (2010)News announcements and price …Jumps, cojumps and macro announcements (2010)Jumps, cojumps and macro anno…What explains global exchange rate movements during the financial crisis? (2009)What explains global exchange…Exchange rate forecasting, order flow and macroeconomic information (2009)Exchange rate forecasting, or…How is macro news transmitted to exchange rates? (2008)How is macro news transmitted…Asset Prices and Monetary Policy (2008)Asset Prices and Monetary Pol…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Order flow and exchange rate dynamics in electronic brokerage system data (2007)Order flow and exchange rate …The high-frequency response of exchange rates and interest rates to macroeconomic announcements (2006)The high-frequency response o…News announcements, market activity and volatility in the euro/dollar foreign exchange market (2005)News announcements, market ac…Exchange rates and fundamentals: new evidence from real-time data (2005)Exchange rates and fundamenta…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Asset Prices and Monetary Policy (2003)Asset Prices and Monetary Pol…The market microstructure of central bank intervention (2002)The market microstructure of …The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)The Effects of Macroeconomic …Choice with Limited Capacity (2019)Choice with Limited CapacityThe exchange rate effects of macro news after the global Financial Crisis (2018)The exchange rate effects of …Discretion versus policy rules in practice (1993)How Markets Process Information: News Releases and Volatility (1993)How the Bundesbank Conducts Monetary Policy (1996)Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Talking heads: the effects of ECB statements on the euro–dollar exchange rate (2005)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Empirical exchange rate models of the seventies (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Text mining of news-headlines for FOREX market prediction: A Multi-layer Dimension Reduction Algorithm with semantics and sentiment (2014)A survey of the applications of text mining in financial domain (2016)A model of investor sentiment /A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Robust estimation of intraweek periodicity in volatility and jump detection (2010)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)News sentiment in the cryptocurrency market: An empirical comparison with Forex (2020)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Flow Toxicity and Liquidity in a High-frequency World (2012)Algorithmic Trading and the Market for Liquidity (2013)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Expectations and Exchange Rate Dynamics (1976)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Exchange Rate Models Are Not as Bad as You Think (2007)ARCH modeling in finance (1992)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)High-Frequency Trading and Price Discovery (2014)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure theory (1995)The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis (2007)The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna (2007)Emerging Market Volatility (2014)Commodity prices, interest rates and the dollar (2009)The Economics of Grain Price Volatility (2011)Financial Crises: Explanations, Types and Implications (2013)Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting (2005)Exchange rate expectations and economic policy uncertainty (2016)The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19 (2020)
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References

  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 2008How is macro news transmitted to exchange rates?369 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • 2010Jumps, cojumps and macro announcements300 cited
  • 2009Exchange rate forecasting, order flow and macroeconomic information281 cited
  • 2002The market microstructure of central bank intervention279 cited
  • 2008Asset Prices and Monetary Policy224 cited
  • 2009What explains global exchange rate movements during the financial crisis?224 cited
  • 2005News announcements, market activity and volatility in the euro/dollar foreign exchange market217 cited
  • 2003Asset Prices and Monetary Policy211 cited
  • 2010News announcements and price discovery in foreign exchange spot and futures markets183 cited
  • 2005Exchange rates and fundamentals: new evidence from real-time data

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153 cited
  • 2007Order flow and exchange rate dynamics in electronic brokerage system data150 cited
  • Cited by

    • 2018The exchange rate effects of macro news after the global Financial Crisis40 cited
    • 2019Choice with Limited Capacity1 cited