Intraday momentum in FX markets: Disentangling informed trading from liquidity provision-Reference-Cited by-同舟云学术

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Intraday momentum in FX markets: Disentangling informed trading from liquidity provision

Published:2018-01 Issue: Volume:37 Page:35-51
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Elaut Gert,Frömmel Michael,Lampaert Kevin

Funder

Research Foundation Flanders – Fonds Wetenschappelijk Onderzoek (FWO) – is gratefully acknowledged

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. A theory of intraday patterns;Admati;Rev. Financ. Stud.,1988

2. Trading mechanisms and stock returns;Amihud;J. Financ.,1987

3. Intraday periodicity and volatility persistence in financial markets;Andersen;J. Empir. Financ.,1997

4. The impact of trades on daily volatility;Avramov;Rev. Financ. Stud.,2006

5. Dealer behavior and trading systems in foreign exchange markets;Bjønnes;J. Financ. Econ.,2005

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