Search Results - subject:"microstructure"

Microstructure of foreign exchange markets

Evans, Martin D. D.; Rime, Dagfinn - 2019

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by … features are represented in microstructure models of FX trading. Next, we describe the links between microstructure and … provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on …

Persistent link: https://www.econbiz.de/10011992841

Who sees the trades? : the effect of information on liquidity in inter-dealer markets

Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019

Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade...

Persistent link: https://www.econbiz.de/10012038817

On the Sources of Private Information in FX Markets

Moore, Michael J. - 2019

We investigate the source of information advantage in inter-dealer FX trading using data on trades and counterparty identities. In liquid dollar exchange rates, information is concentrated among dealers that trade most frequently and specialize their activity in a particular rate. In...

Persistent link: https://www.econbiz.de/10012905889

The Information Content of a Limit Order Book : The Case of an FX Market

Kozhan, Roman - 2019

In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that...

Persistent link: https://www.econbiz.de/10012905969

The Microstructure of the ‘Flash Crash’ : Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

Easley, David - 2019

The ‘flash crash' of May 6th 2010 was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, we argue that the ‘flash...

Persistent link: https://www.econbiz.de/10012906008

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

Cenesizoglu, Tolga - 2019

We disentangle bid- and ask-side liquidity using 11 years of comprehensive NYSE limit order book data and document that this has important implications for understanding the determinants, commonalities and pricing of liquidity. First, the ask- but not bid-side liquidity of financial stocks...

Persistent link: https://www.econbiz.de/10012903274

Investor Sentiment and Microstructure Information in Index Futures Markets

Li, Weiping - 2019

We show how specific features of the microstructure information from VPIN and DPIN can volatile the futures market and …

Persistent link: https://www.econbiz.de/10012862315

Supplementary Material for 'A ReMeDI for Microstructure Noise'

Li, Z. Merrick - 2019

This note contains the supplements to Li and Linton (2019). Section A contains extensive simulation studies. Section B presents the methodology and a detailed numerical algorithm to select the tuning parameters. Section C presents additional empirical studies. Section D contains all mathematical...

Persistent link: https://www.econbiz.de/10012865811

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

Garrison, Robert - 2019

Cross-asset market activity can be a channel through which illiquidity risks originating in one market can propagate to others. This paper examines the complex intra-day linkages between the U.S. equity securities market and the equity derivatives market using high-frequency data on S&P 500...

Persistent link: https://www.econbiz.de/10012860759

Foreign Exchange Dealer Asset Pricing

Reitz, Stefan - 2019

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...

Persistent link: https://www.econbiz.de/10012860811