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Price discovery in electronic foreign exchange markets: The sterling/dollar market
16 references·0 citing·38 second hop
Price discovery in electronic foreign exchange markets: The sterling/dollar market (2009)Price discovery in electronic foreign exc…Do futures lead price discovery in electronic foreign exchange markets? (2008)Do futures lead price discove…Price discovery in the foreign exchange futures market (2006)Price discovery in the foreig…Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system (2006)Intraday seasonality in activ…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Dealer behavior and trading systems in foreign exchange markets (2004)Dealer behavior and trading s…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Price discovery and common factor models (2002)Price discovery and common fa…Measures of contributions to price discovery: a comparison (2002)Measures of contributions to …Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994)Electronic Screen Trading and…Why Option Prices Lag Stock Prices: A Trading-Based Explanation (1993)Why Option Prices Lag Stock P…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)The Pricing of Options and Corporate Liabilities (1973)Expected stock returns and volatility (1987)The Dynamics of Stock Index and Stock Index Futures Returns (1990)Implied Volatility Functions: Empirical Tests (1998)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A PANIC Attack on Unit Roots and Cointegration (2004)The Variation of Certain Speculative Prices (1963)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Modeling and Forecasting Realized Volatility (2003)Empirical exchange rate models of the seventies (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Order Flow and Exchange Rate Dynamics (1999)Arbitrage in the foreign exchange market: Turning on the microscope (2008)How is macro news transmitted to exchange rates? (2008)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The Information in Option Volume for Future Stock Prices (2006)Asset Growth and the Cross‐Section of Stock Returns (2008)Co-Integration and Error-Correction: Representation, Estimation, and Testing (2008)Continuous Auctions and Insider Trading (1985)Arbitrage in the Foreign Exchange Market: Turning on the Microscope (2006)Toxic Arbitrage (2016)Bounds testing approaches to the analysis of level relationships (2001)Testing for Panel Cointegration with Multiple Structural Breaks* (2006)The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,393 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2002Price discovery and common factor models546 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 2004Dealer behavior and trading systems in foreign exchange markets239 cited
  • 2002Measures of contributions to price discovery: a comparison224 cited
  • 1993Why Option Prices Lag Stock Prices: A Trading-Based Explanation215 cited
  • 1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination137 cited
  • 2008Do futures lead price discovery in electronic foreign exchange markets?97 cited

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2006
Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system
95 cited
  • 2006Price discovery in the foreign exchange futures market61 cited
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