We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...

We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...

We examine intraday momentum in the RUB-USD exchange market and its relationship with informed trading and liquidity provision. Using tick-by-tick transaction level data from the Moscow Interbank Currency Exchange (MICEX) for the period 2005 to 2014, we establish the presence of intraday...