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Exchange Rate Response to Macronews : Through the Lens of Microstructure
Savaser, Tanseli - 2013
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...
Persistent link: https://www.econbiz.de/10013088364
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Micro Approaches to Foreign Exchange Determination
Evans, Martin D. D. - 2011
Micro-based exchange-rate research examines the determination and behavior of spot exchange rates in an environment that replicates the key features of trading in the foreign exchange (FX) market. Traditional macro exchange-rate models play little attention to how trading in the FX market...
Persistent link: https://www.econbiz.de/10013119949
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Micro Approaches to Foreign Exchange Determination
Evans, Martin D. D. - 2011
We provide an overview of micro-based research using models of currency trading set in a partial equilibrium setting, and in the general equilibrium setting of modern macroeconomic models. In so doing we aim to dispel the myth that micro-based research is solely focused on the details of...
Persistent link: https://www.econbiz.de/10013131077
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The Microstructure of Currency Markets
Evans, Martin D. D. - 2011
This article summarizes exchange-rate research using microstructure models. It first lays out the key features of the foreign exchange market and describes how they are incorporated into a canonical model of currency trading. The empirical implications of the model are then examined. The article...
Persistent link: https://www.econbiz.de/10013131078
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Informativeness of Trade Size in Foreign Exchange Markets
Erdemlioglu, Deniz - 2016
increased price volatility episodes. In addition, the data suggest that excess kurtosis in exchange rate returns (corresponding …
Persistent link: https://www.econbiz.de/10012979184
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Exchange Rates, Interest Rates and the Global Carry Trade
Evans, Martin D. D. - 2017
13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry …
Persistent link: https://www.econbiz.de/10012952450
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Exchange Rates, Interest Rates and the Global Carry Trade
Evans, Martin D. D. - 2017
13 countries from 2000, through the world financial crisis, until the end of 2011. Our model identifies the weekly carry …
Persistent link: https://www.econbiz.de/10012945052
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Forex Trading and the WMR Fix
Evans, Martin D. D. - 2017
Since 2013 regulators have been investigating the activities of some of the world's largest banks around the setting of … daily benchmarks for forex prices. These benchmarks are a key linchpin of world financial markets, providing standardize …
Persistent link: https://www.econbiz.de/10012972815
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Front-Running and Collusion in Forex Trading
Evans, Martin D. D. - 2019
This paper examines the market-wide effects of front-running and information-sharing by dealers in a quantitative microstructure model of Forex trading. Recent investigations by government regulators and court proceedings reveal that there has been widespread sharing of information among Forex...
Persistent link: https://www.econbiz.de/10012869421
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057