Tests of microstructural hypotheses in the foreign exchange market
Article Abstract:
Use of a Bayesian model of pricing behavior results in the observation that order flow has a dual influence on prices of foreign exchange in accordance to microstructure theory. Inventory control and assymetric information are the two determinants of price behavior with the former exerting a stronger influence. Foreign exchange dealers are observed to rely heavily on inventory control in their trading activities.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1995
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Just another day in the inter-bank foreign exchange market
Article Abstract:
Research is presented describing the theory used to determine the highs and lows of inter-bank marketing on a day trading basis and the factors determining such swings in price.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2000
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Dealer behavior and trading systems in foreign exchange markets
Article Abstract:
Microstructure method to examine the trading methods of dealers to manage inventory control in foreign exchange markets is presented.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
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