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Author : Teng Miao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays in Microstructure Analysis in the Foreign Exchange Market written by Teng Miao and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260232
Total Pages : 358 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author : Anusha Chari
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Anusha Chari and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antti Suvanto
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.3/5 ( download)
Download or read book Foreign Exchange Dealing written by Antti Suvanto and published by . This book was released on 1993 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Author : Zhiyong Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (125 download)
Download or read book Essays on the Foreign Exchange Market written by Zhiyong Li and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rafael Romeu
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (254 download)
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Rafael Romeu and published by . This book was released on 2002 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Soheil Mahmoodzadeh
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Market Microstructure and Foreign Exchange Market written by Soheil Mahmoodzadeh and published by . This book was released on 2015 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: High frequency trading (HFT) has become a predominant feature of financial markets. Thisthesis studies different aspects of the HFT in the Electronic Broking Services (EBS) interbank foreign exchange (FX) market.The first paper of this Thesis (Chapter 1) studies changes in the spread, market depth anddegree of adverse selection due to the lower minimum tick size. The main conclusion is that thereduction in the spread was mostly absorbed by the HFTs, whereas the manual traders were pushedback from the top of the order book and experienced longer execution times. Manual marketmakers were willing to cross the spread and act as market takers changing the informationalcontent of the order flow. Market depth was reduced significantly following the introduction ofdecimal pip pricing. The second paper of this Thesis (Chapter 2) presents the effect of the tick size change onthe adverse selection problem in the EBS market. Econometric analysis of serial correlationproperties of jumps in exchange rates, and of the spread leads to the conclusion that adverseselection is reduced by tick size change. Similar cleavage occurs before and after tick size changein an empirical adverse selection proxy. This chapter sheds light on trading behavior of marketparticipants. The third paper of this thesis (Chapter 3) discusses the properties of triangular arbitrageopportunity in the EBS market. The results cast into question current understanding of triangulararbitrage in the literature, specifically in relation to algorithmic trading. The increasingpresence of algorithmic traders does not offer significant improvement in speed of price discoveryby quickly consuming the triangular arbitrage opportunities. Rather, algorithmic tradinginfluences the creation of triangular arbitrage by two countervailing effects.
Author : Christian Voigt
Publisher : GRIN Verlag
ISBN 13 : 3640161157
Total Pages : 159 pages
Book Rating : 4.6/5 (41 download)
Download or read book Selected Essays on Market Microstructure written by Christian Voigt and published by GRIN Verlag. This book was released on 2008-09-10 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2008 in the subject Business economics - Economic Policy, grade: summa cum laude, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: The aim of this thesis is to contribute to the existing empirical literature by investigating the strategic behavior of informed and uninformed traders under the light of recent developments. We observe their actual current behavior at financial markets and try to assess whether existing theoretical arguments and assumptions are still valid in the world today, or the newly available rich data samples provide new answers to old questions that researchers have not been able to answer before.
Author : Paolo Vitale
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (15 download)
Download or read book A Market Microstructure Analysis of Foreign Exchange Intervention written by Paolo Vitale and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucio Sarno
Publisher : International Economics Section Department of Eco Ceton Univ
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (321 download)
Download or read book The Microstructure of the Foreign-exchange Market written by Lucio Sarno and published by International Economics Section Department of Eco Ceton Univ. This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucio Sarno
Publisher : Cambridge University Press
ISBN 13 : 1139435043
Total Pages : 334 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2003-01-09 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Author : Van Thuan Nguyen
Publisher :
ISBN 13 : 9781109846362
Total Pages : 153 pages
Book Rating : 4.8/5 (463 download)
Download or read book Three Essays on the Microstructure of Exchange Traded Funds written by Van Thuan Nguyen and published by . This book was released on 2005 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines competition among exchanges for order flow in ETFs. We find that ECNs dominate the market for ETFs. Besides providing superior prices to investors, ECNs also offer non-price services such as speedy execution and anonymity. Given the superior execution services on ECNs and the low adverse selection costs in ETF markets, liquidity traders also trade on ECNs. The results suggest that ECNs satisfy both liquidity and informed traders in the market for ETFs and this explains why they gain substantial order flow. We also find that quote-based competition is prevalent in the market for ETFs. Overall, our study supports the view that multimarket trading is a desirable development that helps cater to investors' diverse needs.
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9814478830
Total Pages : 269 pages
Book Rating : 4.8/5 (144 download)
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Author : Markus Gsell
Publisher : Columbia University Press
ISBN 13 : 3838201140
Total Pages : 228 pages
Book Rating : 4.8/5 (382 download)
Download or read book Essays on Algorithmic Trading written by Markus Gsell and published by Columbia University Press. This book was released on 2010-07-09 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technological innovations are altering the traditional value chain in securities trading. Hitherto the order handling, i.e. the appropriate implementation of a general trading decision into particular orders, has been a core competence of brokers. Labeled as Algorithmic Trading, the automation of this task recently found its way both into the brokers' portfolio of service offerings as well as to their customers' trading desks. The software performing the order handling thereby constantly monitors the market(s) in real-time and further evaluates historical data to dynamically determine appropriate points in time for trading. Within only a few years, this technology propagated itself among market participants along the entire value chain and has nowadays gained a significant market share on securities markets worldwide. Surprisingly, there has been only little research analyzing the impact of this special type of trading on markets. Markus Gsell's book aims at closing this gap by analyzing the drivers for adoption of this technology, the impact the application of this technology has on markets on a macro level, i.e. how the market outcome is affected, as well as on a micro level, i.e. how the exhibited trading behavior of these automated traders differs from normal traders' behavior.
Author : Richard K. Lyons
Publisher : MIT Press (MA)
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.F/5 ( download)
Download or read book The Microstructure Approach to Exchange Rates written by Richard K. Lyons and published by MIT Press (MA). This book was released on 2001 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.
Author : Mingjian Huang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Microstructure Analysis of Price Discovery, Information-based Trading and Intervention in Foreign Exchange Markets written by Mingjian Huang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard K. Lyons
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Tests of Microstructural Hypotheses in the Foreign Exchange Market written by Richard K. Lyons and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the inventory-control channel. We find that trades have both a strong information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of equity-market studies also find an information effect; however, these studies typically interpret this as evidence of inside information. Since there are no insiders in the foreign exchange market, this finding suggests a broader conception of the information environment, at least in this context.
