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The microstructure of covered interest arbitrage in a market with a dominant market maker

Liu, Hao-chen; Witte, Mark David - In: Journal of international financial markets, … 24 (2013), pp. 25-41

Persistent link: https://www.econbiz.de/10009726481

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...

Persistent link: https://www.econbiz.de/10011541417

Stock-ADR arbitrage : microstructure risk

Mitra, Sovan; Chinthalapati, V. L. Raju; Clark, Ephraim; … - In: Journal of international financial markets, … 63 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012263282

Microstructure order flow : statistical and economic evaluation of nonlinear forecasts

Cerrato, Mario; Kim, Hyunsok; MacDonald, Ronald - In: Journal of international financial markets, … 39 (2015), pp. 40-52

Persistent link: https://www.econbiz.de/10011475587

Bid-ask spread determination in the FX swap market : competition, collusion or a convention?

Stenfors, Alexis - In: Journal of international financial markets, … 54 (2018), pp. 78-97

Persistent link: https://www.econbiz.de/10011984028

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

Heterogeneous expectations in the foreign exchange market : evidence from the daily dollar/DM exchange rate

Ahrens, Ralf; Reitz, Stefan - 2003

Persistent link: https://www.econbiz.de/10001768495

The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of international financial markets, … 19 (2009) 2, pp. 387-401

Persistent link: https://www.econbiz.de/10003800028

Exchange rate response to macronews : through the lens of microstructure

Savaser, Tanseli - In: Journal of international financial markets, … 21 (2011) 1, pp. 107-126

Persistent link: https://www.econbiz.de/10009259716

The electronic trading systems and bid-ask spreads in the foreign exchange market

Ding, Liang; Hiltrop, Jonas - In: Journal of international financial markets, … 20 (2010) 4, pp. 323-345

Persistent link: https://www.econbiz.de/10009260256