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The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?
16 references·8 citing·45 second hop
The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise? (1997)The Big Players in the Foreign Exchange M…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Fixing Exchange Rates: A Virtual Quest for Fundamentals (1993)Fixing Exchange Rates: A Virt…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…The effects of option listing on the underlying stocks' return processes (1991)The effects of option listing…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Options markets and stock return volatility (1989)Options markets and stock ret…The Interrelation of Stock and Options Market Trading-Volume Data (1988)The Interrelation of Stock an…Futures trading and cash market volatility: Stock index and interest rate futures (1988)Futures trading and cash mark…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)An Analysis of the Implicatio…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…Futures Trading and Volatility in the GNMA Market (1981)Futures Trading and Volatilit…Futures Trading and Market Information (1976)Futures Trading and Market In…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Essays in Positive Economics. (1954)Essays in Positive Economics.Speculative Attacks: A Laboratory Study in Continuous Time (2009)Speculative Attacks: A Labora…Profits and speculation in intra-day foreign exchange trading (2006)Profits and speculation in in…Herding and the information content of trades in the Australian dollar market (2006)Herding and the information c…U.S. Exchange Rates and Currency Flows (2002)U.S. Exchange Rates and Curre…The Role of Large Players in Currency Crises (2002)The Role of Large Players in …E‐Finance in Emerging Markets: Is Leapfrogging Possible? (2002)E‐Finance in Emerging Markets…Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals (2002)Currency Returns, Institution…Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals (2002)Currency Returns, Institution…Expectations and Exchange Rate Dynamics (1976)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)Target Zones and Exchange Rate Dynamics (1991)Currency traders and exchange rate dynamics: a survey of the US market (2001)Terms of trade and exchange rate regimes in developing countries (2003)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Rational Expectations and the Theory of Price Movements (1961)The degree of price resolution: The case of the gold market (1985)Index- Based Futures And Options Markets In Real Estate (1993)Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)The Use of Knowledge in Society (1996)A General Equilibrium Approach To Monetary Theory (1969)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Economics: A Survey (1991)Stock prices and exchange rate dynamics (2005)The Variation of Certain Speculative Prices (1963)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The variation of certain speculative prices (1997)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)The New Institutionalism: Organizational Factors in Political Life (1983)Economic Reform and the Process of Global Integration (1995)The Nature of Theory in Information Systems1 (2006)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

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1954Essays in Positive Economics.2,999 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1993Fixing Exchange Rates: A Virtual Quest for Fundamentals613 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1976Futures Trading and Market Information294 cited
  • 1989Options markets and stock return volatility282 cited
  • 1987An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies280 cited
  • 1988The Interrelation of Stock and Options Market Trading-Volume Data207 cited
  • 1981Futures Trading and Volatility in the GNMA Market203 cited
  • 1991The effects of option listing on the underlying stocks' return processes

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184 cited
  • 1988Futures trading and cash market volatility: Stock index and interest rate futures181 cited
  • Cited by

    • 2006Herding and the information content of trades in the Australian dollar market35 cited
    • 2002The Role of Large Players in Currency Crises34 cited
    • 2006Profits and speculation in intra-day foreign exchange trading30 cited
    • 2002Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals30 cited
    • 2002Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals30 cited
    • 2009Speculative Attacks: A Laboratory Study in Continuous Time22 cited
    • 2002U.S. Exchange Rates and Currency Flows22 cited
    • 2002E‐Finance in Emerging Markets: Is Leapfrogging Possible?18 cited