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Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
In: NBER Working Papers.
RePEc:nbr:nberwo:12413.

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Cited: 52

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  1. Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

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  2. Liquidity in the global currency market. (2022). de Magistris, Paolo Santucci ; Ranaldo, Angelo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883.

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  3. Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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  4. Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets. (2020). Takayasu, Hideki ; Yamada, Kenta ; Ito, Takatoshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26706.

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  5. Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Olsen, Richard ; Golub, Anton ; Petrov, Vladimir.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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  6. Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York. (2018). Watkins, Clinton ; Xu, Tao ; Iwatsubo, Kentaro.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:11:y:2018:i:c:p:59-71.

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  7. Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York. (2017). Watkins, Clinton ; Iwatsubo, Kentaro ; Xu, Tao.
    In: Discussion Papers.
    RePEc:koe:wpaper:1722.

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  8. Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York. (2017). Xu, Tao ; Watkins, Clinton ; Iwatsubo, Kentaro.
    In: Discussion Papers.
    RePEc:koe:wpaper:1715.

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  9. Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York. (2017). Watkins, Clinton ; Iwatsubo, Kentaro ; Tao, XU ; Kentaro, Iwatsubo.
    In: Discussion papers.
    RePEc:eti:dpaper:17120.

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  10. Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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  11. Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing. (2017). Ito, Takatoshi ; Yamada, Masahiro .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:109:y:2017:i:c:p:214-234.

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  12. Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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  13. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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  14. Trading activities and price discovery in foreign currency futures markets. (2016). Gau, Yin-Feng ; Liao, Wen-Ju ; Chen, Yu-Lun.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:46:y:2016:i:4:d:10.1007_s11156-014-0486-9.

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  15. The probability of informed trading measured with price impact, price reversal, and volatility. (2016). Kitamura, Yoshihiro.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:77-90.

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  16. Bid-Ask Spreads in OTC Markets. (2016). Osler, Carol ; Kathitziotis, Neophytos ; Bjonnes, Geir .
    In: Working Papers.
    RePEc:brd:wpaper:102.

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  17. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:67470.

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  18. Was the Forex Fixing Fixed?. (2015). Ito, Takatoshi ; Yamada, Masahiro .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21518.

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  19. High-frequency, Algorithmic Spillovers Between NASDAQ and Forex. (2015). Ito, Takatoshi ; Yamada, Masahiro .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21122.

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  20. Foreign exchange market intervention and price discovery. (2015). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:38:y:2015:i:c:p:214-227.

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  21. Intraweek and intraday trade anomalies: evidence from FOREX market. (2014). Saša Popović, .
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:32:p:3968-3979.

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  22. Tick size reduction and price clustering in a FX order book.. (2014). Lallouache, Mehdi ; Abergel, Frederic.
    In: Post-Print.
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  23. Tick size reduction and price clustering in a FX order book. (2014). Abergel, Frederic ; Lallouache, Mehdi.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:416:y:2014:i:c:p:488-498.

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  24. Asymmetric responses of ask and bid quotes to information in the foreign exchange market. (2014). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:194-204.

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  25. Order choices under information asymmetry in foreign exchange markets. (2014). Gau, Yin-Feng ; Wu, Zhen-Xing .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:30:y:2014:i:c:p:106-118.

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  26. Tick Size Reduction and Price Clustering in a FX Order Book. (2014). Fr'ed'eric Abergel, ; Lallouache, Mehdi.
    In: Papers.
    RePEc:arx:papers:1307.5440.

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  27. Intraday Patterns in FX Returns and Order Flow. (2013). Ranaldo, Angelo ; Breedon, Francis.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:45:y:2013:i:5:p:953-965.

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  28. Empirical properties of the foreign exchange interdealer market. (2013). Abergel, Frederic ; Lallouache, Mehdi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01006414.

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  29. Private information and its origins in an electronic foreign exchange market. (2013). Gradojevic, Nikola ; Genay, Ramazan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:86-93.

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  30. The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence. (2012). Tranvåg, Hans Jørgen ; Rime, Dagfinn ; Tranvg, Hans Jorgen .
    In: Working Paper Series.
    RePEc:nst:samfok:12412.

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  31. Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets. (2012). Ito, Takatoshi ; Takayasu, Hideki ; Yamada, Kenta .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18541.

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  32. Ensemble vs. time averages in financial time series analysis. (2012). Gunaratne, Gemunu H. ; Seemann, Lars ; McCauley, Joseph L. ; Hua, Jia-Chen .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:23:p:6024-6032.

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  33. Effect of exchange rate return on volatility spill-over across trading regions. (2012). Kitamura, Yoshihiro ; Galagedera, Don ; Galagedera, Don U. A., .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:24:y:2012:i:4:p:254-265.

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  34. The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence. (2012). Tranvåg, Hans Jørgen ; Rime, Dagfinn ; Tranvg, Hans Jorgen .
    In: Working Paper.
    RePEc:bno:worpap:2012_01.

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  35. The intraday bid-ask spread behaviour of the JPY/USD exchange rate in the EBS electronic brokerage system. (2011). Li, Chen-Yu ; Hua, Mingshu .
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:16:p:2003-2013.

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  36. Intraday patterns in FX returns and order flow. (2011). Ranaldo, Angelo ; Breedon, Francis.
    In: Working Papers.
    RePEc:snb:snbwpa:2011-04.

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  37. The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach. (2011). Kitamura, Yoshihiro.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:18:y:2011:i:1:p:1-31.

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  38. Price discovery in currency markets. (2011). Menkhoff, Lukas ; Mende, Alexander ; Osler, Carol L..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:8:p:1696-1718.

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  39. On the sources of private information in FX markets. (2011). Payne, Richard ; Moore, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1250-1262.

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  40. Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets. (2010). Kitamura, Yoshihiro.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:24:y:2010:i:2:p:158-171.

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  41. Intra-day seasonality in foreign exchange market transactions. (2010). cotter, john ; Dowd, Kevin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:2:p:287-294.

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  42. International macroeconomic announcements and intraday euro exchange rate volatility. (2010). Speight, Alan ; Evans, Kevin .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:24:y:2010:i:4:p:552-568.

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  43. Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture. (2010). Ito, Takatoshi ; Hashimoto, Yuko .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:24:y:2010:i:3:p:334-354.

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  44. News announcements and price discovery in foreign exchange spot and futures markets. (2010). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1628-1636.

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  45. Price Discovery in Currency Markets. (2010). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander .
    In: Working Papers.
    RePEc:brd:wpaper:03.

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  46. Liquidity problems in the FX liquid market: Ask for the BIL.. (2010). Le Fol, Gaelle ; Idier, Julien ; Borgy, Vladimir.
    In: Working papers.
    RePEc:bfr:banfra:279.

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  47. Intraday evidence of the informational efficiency of the yen/dollar exchange rate. (2009). Kitamura, Yoshihiro ; Iwatsubo, Kentaro.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:14:p:1103-1115.

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  48. An information approach to international currencies. (2009). Moore, Michael ; Lyons, Richard K..
    In: Journal of International Economics.
    RePEc:eee:inecon:v:79:y:2009:i:2:p:211-221.

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  49. Dynamics of quote and deal prices in the foreign exchange market. (2008). Ito, Takatoshi ; Watanabe, Tsutomu ; Ohnishi, Takaaki ; Takayasu, Misako ; Hashimoto, Yuko.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:3:y:2008:i:1:p:99-106.

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  50. Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability. (2008). Ito, Takatoshi ; Takayasu, Hideki ; Hashimoto, Yuko ; Watanabe, Tsutomu ; Ohnishi, Takaaki .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14160.

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  51. Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate. (2008). Kitamura, Yoshihiro ; Iwatsubo, Kentaro.
    In: Discussion Papers.
    RePEc:koe:wpaper:0801.

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  52. FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value. (2008). Valente, Giorgio ; Joseph K. W. Fung, ; Fong, Wai-Ming .
    In: Working Papers.
    RePEc:hkm:wpaper:082008.

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