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Detecting and identifying arbitrage in the spot foreign exchange market
9 references·0 citing·42 second hop
Detecting and identifying arbitrage in the spot foreign exchange market (2019)Detecting and identifying arbitrage in th…Toxic Arbitrage (2016)Toxic ArbitrageRise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…Measuring and Modeling Execution Cost and Risk (2012)Measuring and Modeling Execut…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…The Recovery Theorem (2011)The Recovery TheoremDo Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET (2009)THE MIRAGE OF TRIANGULAR ARBI…Arbitrage in the foreign exchange market: Turning on the microscope (2008)Arbitrage in the foreign exch…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…The Adjustment of Stock Prices to New Information (1969)Continuous Auctions and Insider Trading (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Optimal trading strategy and supply/demand dynamics (2012)60 Years of portfolio optimization: Practical challenges and current trends (2013)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)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Safe Haven Currencies (2010)Currency Momentum Strategies (2011)Intermediary asset pricing: New evidence from many asset classes (2017)A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)Tests of microstructural hypotheses in the foreign exchange market (1995)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage (2019)No‐arbitrage matrices of exchange rates: Some characterizations (2019)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Limits of Arbitrage (1995)Common Risk Factors in Currency Markets (2011)Deviations from Covered Interest Rate Parity (2016)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)Tails, Fears, and Risk Premia (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Asset pricing and the bid-ask spread (1986)Dynamic Trading with Predictable Returns and Transaction Costs (2009)A Taxonomy of Anomalies and Their Trading Costs (2015)Information Effects on the Bid-Ask Spread (1983)Liquidity and leverage (2008)Does Algorithmic Trading Improve Liquidity? (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (2016)The Economics of High-Frequency Trading: Taking Stock (2016)Parametric Inference and Dynamic State Recovery From Option Panels (2015)Resolution of policy uncertainty and sudden declines in volatility (2017)The Time Variation in Risk Appetite and Uncertainty (2017)
this work references cited by second hop

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market608 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?554 cited
  • 2008Arbitrage in the foreign exchange market: Turning on the microscope374 cited
  • 2011The Recovery Theorem354 cited
  • 2016Toxic Arbitrage186 cited
  • 2012Measuring and Modeling Execution Cost and Risk129 cited
  • 2009THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET31 cited

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