This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the deterministic intra-daily seasonal pattern inherent in volatility and the effects of US macroeconomic announcements. The empirical specification and...

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data between 1986 and 1995. We extend the preliminary results obtained by Fischer and Zurlinden (1991) by matching these data with intra-day indicative...

We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange, where an upstairs¶ network of dual-capacity firms is also available for trade.  We hypothesise and empirically verify that execution and...

A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric methods are used. Deseasonalizing procedures are proposed and permit the use of fully parametric methods which provide efficient tests of long...

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data between 1986 and 1995. We extend the preliminary results obtained by Fischer and Zurlinden (1991) by matching these data with intra-day indicative...

We explore the information content of counterparty identities and how their disclosure can be exploited by other investors in a post-trade transparent market. Using data from the Helsinki Stock Exchange, we form dynamic mean-variance strategies with daily rebalancing which condition on the net...