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Is There Private Information in the FX Market? The Tokyo Experiment
16 references·10 citing·42 second hop
Is There Private Information in the FX Market? The Tokyo Experiment (1997)Is There Private Information in the FX Ma…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Stock return variances (1986)Stock return variancesDoes the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…The Japanese Employment System after the Bubble Burst: New Evidence (2009)The Japanese Employment Syste…Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection (2008)Robust Estimation of Intrawee…Rational Speculators and Exchange Rate Volatility (2007)Rational Speculators and Exch…Identifying Noise Traders: The Head-and-Shoulders Pattern in U.S. Equities (2006)Identifying Noise Traders: Th…THE EXCHANGE RATE IN THE JAPANESE ECONOMY: THE PAST, PUZZLES, AND PROSPECTS* (2005)THE EXCHANGE RATE IN THE JAPA…Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System (2004)Microstructure of the Yen/Dol…FX Trading and Exchange Rate Dynamics (2001)FX Trading and Exchange Rate …Dotcom Mania: A Survey of Market Efficiency in the Internet Sector (2001)Dotcom Mania: A Survey of Mar…Noise Trading and Exchange Rate Regimes (1999)Noise Trading and Exchange Ra…Technical Analysis in the Foreign Exchange Market: A Layman's Guide (1998)Technical Analysis in the For…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Essays in the Theory of Risk-Bearing. (1972)Chapter 18 A survey of behavioral finance (2003)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)On the Impossibility of Informationally Efficient Markets (1980)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Individualism and Momentum around the World (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Structure of Scientific Revolutions (1963)Breadth of ownership and stock returns (2002)Disagreement and the Stock Market (2007)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1986Stock return variances1,813 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

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624 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • Cited by

    • 2001Dotcom Mania: A Survey of Market Efficiency in the Internet Sector49 cited
    • 2009The Japanese Employment System after the Bubble Burst: New Evidence31 cited
    • 2001FX Trading and Exchange Rate Dynamics30 cited
    • 2004Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System25 cited
    • 1999Noise Trading and Exchange Rate Regimes25 cited
    • 2006Identifying Noise Traders: The Head-and-Shoulders Pattern in U.S. Equities23 cited
    • 2007Rational Speculators and Exchange Rate Volatility22 cited
    • 1998Technical Analysis in the Foreign Exchange Market: A Layman's Guide21 cited
    • 2008Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection20 cited
    • 2005THE EXCHANGE RATE IN THE JAPANESE ECONOMY: THE PAST, PUZZLES, AND PROSPECTS*17 cited