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Arbitrage in the Foreign Exchange Market: Turning on the Microscope · Study

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PreprintArbitrage in the Foreign Exchange Market: Turning on the Microscope

Qaisar Farooq Akram2006

OA

Preprintgreen2006

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Qaisar Farooq Akram · Dagfinn Rime · Lucio Sarno

161 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1995The Limits of Arbitrage 1980On the Impossibility of Informationally Efficient Markets 1980On the Impossibility of Informationally Efficient Markets 1995Market microstructure theory 2001The Microstructure Approach to Exchange Rates 1976Information and Competitive Price Systems 1999Order Flow and Exchange Rate Dynamics 1976Market microstructure

Cited by

2009Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity 2008Common Risk Factors in Currency Markets 2024Essays in International Finance 2010Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity 2018Tail Risk Concerns Everywhere 2016The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets 2014Financial Market Dislocations

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2008Does the law of one price hold in international financial markets? Evidence from tick dataarticle · 11 shared references 2013The market microstructure approach to foreign exchange: Looking back and looking forwardarticle · 10 shared references 2009Covered interest arbitrage profits: The role of liquidity and credit riskarticle · 10 shared references 2008Arbitrage in the foreign exchange market: Turning on the microscopearticle · 9 shared references 2006Fixed versus flexible: Lessons from EMS order flowarticle · 9 shared references 2007A GUIDED TOUR OF THE MARKET MICROSTRUCTURE APPROACH TO EXCHANGE RATE DETERMINATIONarticle · 9 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations161

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.887442

openalex_workW2110188202

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2012The Share of Systematic Variation in Bilateral Exchange Rates