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The Microstructure of Foreign Exchange Markets. (1996). Giovannini, Alberto ; Frankel, Jeffrey A. ; Galli, Giampaolo .
In: NBER Books.
RePEc:nbr:nberbk:fran96-1.

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  13. 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.
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  20. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
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  21. Understanding FX Liquidity. (2015). Söderlind, Paul ; Ranaldo, Angelo ; Karnaukh, Nina ; Soderlind, Paul .
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  22. The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A..
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  23. The central bank in market efficiency: The case of Taiwan. (2014). Huang, Han-Ching ; Su, Yong-Chern ; Chen, Pei-wen .
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    RePEc:eee:pacfin:v:29:y:2014:i:c:p:239-260.

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  24. The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Rincon-Castro, Hernan ; Pincheira, Pablo ; Julio, Juan ; Fuentes, Miguel.
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  25. The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Vega, Marco ; Rincon-Castro, Hernan ; Pincheira, Pablo ; Moreno, Ramon ; Lahura, Erick ; Julio, Juan ; Garcia-Verdu, Santiago ; Fuentes, Miguel ; Zerecero, Miguel .
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  26. The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Vega, Marco ; Rincon-Castro, Hernan ; Pincheira, Pablo ; Moreno, Ramon ; Lahura, Erick ; Julio, Juan ; Garcia-Verdu, Santiago ; Fuentes, Miguel ; Zerecero, Miguel .
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  27. The relation of trade size and price contribution in a traditional foreign exchange brokered market. (2013). Liu, Hao-Chen ; Ligon, James A..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:1024-1045.

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  28. The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets. (2013). Sevim, Serafettin ; Akarim, Yasemin Deniz .
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  30. Semi?transparency, dealership market, and foreign exchange market quality. (2012). Addona, Vittorio ; Zou, Hao ; Ding, Liang.
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  31. Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability. (2012). Ito, Takatoshi ; Takayasu, Hideki ; Hashimoto, Yuko ; Watanabe, Tsutomu ; Ohnishi, Takaaki .
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    RePEc:taf:quantf:v:12:y:2012:i:6:p:893-905.

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  32. Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets. (2012). Ito, Takatoshi ; Takayasu, Hideki ; Yamada, Kenta .
    In: NBER Working Papers.
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  34. Global liquidity risk in the foreign exchange market. (2012). Sarno, Lucio ; Phylaktis, Kate ; Banti, Chiara.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:2:p:267-291.

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  35. Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information. (2011). Park, Beum Jo.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2011:i:3:p:37-58.

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  36. Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach. (2011). wright, allan ; Craigwell, Roland ; RamjeeSingh, Diaram .
    In: MPRA Paper.
    RePEc:pra:mprapa:33436.

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  37. Uncovered interest-rate parity over the past two centuries. (2011). Wu, Liuren ; Lothian, James ; JamesR. Lothian, .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:3:p:448-473.

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  38. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2584-2597.

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  39. Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses. (2011). Kim, Suk-Joong ; Andersen, Peter.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:2:p:277-295.

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  40. Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. (2011). Yang, Minxian ; Wang, Jianxin.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108.

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  41. Interest differentials and extreme support for uncovered interest rate parity. (2010). Davis, George ; Craighead, William ; Miller, Norman C..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:4:p:723-732.

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  42. 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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  43. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

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  44. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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  45. The Empirics of International Currencies: Network Externalities, History and Persistence. (2009). Jobst, Clemens ; Flandreau, Marc.
    In: Economic Journal.
    RePEc:wly:econjl:v:119:y:2009:i:537:p:643-664.

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  46. A study on foreign exchange dealers bid-ask spread quote behavior. (2009). Hua, Mingshu .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:4:p:506-523.

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  47. Trading activity, dealer concentration and foreign exchange market quality. (2009). Kaul, Aditya ; Sapp, Stephen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2122-2131.

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  48. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

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  49. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7568.

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  50. Overconfidence in Currency Markets. (2009). Osler, Carol ; Oberlechner, Thomas .
    In: Working Papers.
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  51. The day?of?the?week effect and conditional volatility: Sensitivity of error distributional assumptions. (2008). Saadi, Samir ; Rahman, Abdul ; Baker, Kent H.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:17:y:2008:i:4:p:280-295.

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  52. Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate. (2008). Kitamura, Yoshihiro ; Iwatsubo, Kentaro.
    In: Discussion Papers.
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  53. Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns. (2008). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang ; Chen, Shiyi.
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    RePEc:hum:wpaper:sfb649dp2008-014.

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  54. The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. (2008). Saadi, Samir ; Rahman, Abdul ; Baker, Kent H..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:4:p:280-295.

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  55. Order flows, news, and exchange rate volatility. (2008). Menkhoff, Lukas ; Mende, Alexander ; Frömmel, Michael ; Frommel, Michael.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:6:p:994-1012.

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  56. Short-run Exchange-rate Dynamics: Theory And Evidence. (2008). Dahl, Christian ; Osler, Carol L. ; Carlson, John A..
    In: Working Papers.
    RePEc:brd:wpaper:39.

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  57. Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A.
    In: CREATES Research Papers.
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  58. Safe Haven Currencies. (2007). Söderlind, Paul ; Ranaldo, Angelo.
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  59. Do Exchange Rates Move in Line With Uncovered Interest Parity?. (2007). Mahieu, Ronald ; Mulder, A. ; Huisman, R..
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    RePEc:ems:eureri:8993.

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  60. Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk. (2007). Mahieu, Ronald ; Huisman, R..
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  61. Intraday exchange rate volatility: ARCH, news and seasonality effects. (2007). Gau, Yin-Feng ; Hua, Mingshu .
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  62. Topology of foreign exchange markets using hierarchical structure methods. (2007). Rose, Lawrence ; Moyle, Brendan J. ; Naylor, Michael J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:382:y:2007:i:1:p:199-208.

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  63. Herding and the information content of trades in the Australian dollar market. (2007). Wang, Jianxin ; Carpenter, Andrew.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:15:y:2007:i:2:p:173-194.

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  64. When is inter-transaction time informative?. (2007). Furfine, Craig .
    In: Journal of Empirical Finance.
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  65. Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?. (2006). Taylor, Mark ; Lothian, James.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:768.

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  66. Exchange Rate Regimes: Middling Through. (2006). Goyal, Ashima.
    In: Global Economic Review.
    RePEc:taf:glecrv:v:35:y:2006:i:2:p:153-175.

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  67. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  68. Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds. (2006). Sax, Christoph.
    In: Financial Markets and Portfolio Management.
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  69. Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle. (2006). Sarno, Lucio ; Leon, Gene L ; Valente, Giorgio.
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  70. Macro lessons from microstructure. (2006). Osler, Carol.
    In: International Journal of Finance & Economics.
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  71. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market. (2006). Gau, Yin-Feng ; Hua, Mingshu .
    In: Pacific-Basin Finance Journal.
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  72. Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:20:y:2006:i:4:p:637-664.

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  73. On the inadequacy of newswire reports for empirical research on foreign exchange interventions. (2006). Fischer, Andreas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:8:p:1226-1240.

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  74. One minute in the life of the DM/US$: Public news in an electronic market. (2006). Carlson, John A. ; Lo, Melody.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:7:p:1090-1102.

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  75. When do central bank interventions influence intra-daily and longer-term exchange rate movements?. (2006). Dominguez, Kathryn ; Dominguez, Kathryn M. E., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:7:p:1051-1071.

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  76. Fixed versus flexible: Lessons from EMS order flow. (2006). Moore, Michael ; Lyons, Richard ; Killeen, William P..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:4:p:551-579.

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  77. Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU. (2006). ap Gwilym, Owain ; McGroarty, Frank ; Thomas, Stephen.
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  78. Profits and speculation in intra-day foreign exchange trading. (2006). Menkhoff, Lukas ; Mende, Alexander.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:9:y:2006:i:3:p:223-245.

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  79. Were bid-ask spreads in the FX market excessive during the Asian crisis?. (2006). Sy, Amadou ; Becker, Torbjörn.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:4-5:p:434-449.

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  80. The Empirics of International Currencies: Historical Evidence. (2006). Jobst, Clemens ; Flandreau, Marc.
    In: CEPR Discussion Papers.
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  81. IMPACTO DE LAS OPERACIONES DE LOS FONDOS DE PENSIONES OBLIGATORIAS EN LOS MERCADOS FINANCIEROS COLOMBIANOS. (2006). Murcia, Andrés ; Pabon, Andres Murcia ; Pinzon, Diego Jara ; Restrepo, Carolina Gomez.
    In: Borradores de Economia.
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  82. Topology of Foreign Exchange Markets using Hierarchical Structure Methods. (2006). Rose, Lawrence ; Naylor, Michael ; Moyle, Brendan J..
    In: Papers.
    RePEc:arx:papers:physics/0608084.

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  83. Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?. (2006). Taylor, Mark ; Lothian, James R.
    In: Economic Research Papers.
    RePEc:ags:uwarer:269738.

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  84. Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?. (2005). Sarno, Lucio.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
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  85. Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?. (2005). Sy, Amadou ; Becker, Torbjorn I.
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  86. 09/11 on the USD/EUR Foreign Exchange Market. (2005). Mende, Alexander.
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  87. A New Micro Model of Exchange Rate Dynamics (March 2004). (2005). Lyons, Richard ; Evans, Martin ; Martin D. D. Evans, .
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  88. Price discovery in a market under stress: the U.S. Treasury market in fall 1998. (2005). Remolona, Eli ; Furfine, Craig H..
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  89. Bid/ask spreads in the foreign exchange market: An alternative interpretation. (2005). Poskitt, Russell .
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