Research on foreign exchange market microstructure stresses the importance of order flow, heterogeneity among agents, and private information as crucial determinants of short-run exchange rate dynamics. Microstructure researchers have produced empirically-driven models that fit the data...

Using the longest data set on foreign exchange (FX) order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and...

Current trading is characterized by various market structures. This chapter examines market structures predominant in equities and fixed-income markets and compares and contrasts them. It also reviews the academic literature about the implications of market structure design. Market structure...

Equity returns and fi rm's default probability are strictly interrelated financial measures capturing the credit risk profi le of a fi rm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a fi rm within Merton [17]...

The characteristics of the order flow in limit order markets has been significantly altered since the introduction of Market in Financial Instruments Directive. We revisit issues related to the shape of the limit order book and its information content in a post-MiFID world using message level...

We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the co-jumps from the total quadratic covariation even in...

Using a unique dataset collected in 60 Gambian villages, I study six social and economic networks: (i) land exchange, (ii) labor exchange, (iii) tool and fertilizer exchange, (iv) credit exchange, (v) matrimonial relationships and (vi) kinship relationships. A variety of measures gleaned from...

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Exchanges invest in speed-enhancing technologies and price trading services to attract investors. Investors trade due to idiosyncratic preference shocks. We show how the resulting market organization...

This study investigates the microeffects of macronews using customer price-contingent orders (i.e. stop-loss and take-profit orders) data from a large foreign exchange dealing bank in the pound/dollar market. Results reveal that price-contingent order placement intensifies 3-5 h prior to the...

We examine the intra-day informational effects of unexpected duration between trades on bid-ask spreads and depths. The difference between realized duration and the prediction from an autoregressive conditional duration model is used as a proxy for unexpected duration. We find that unexpected...