Order flow and exchange rate dynamics in electronic brokerage system data

Author:

Berger David W.,Chaboud Alain P.,Chernenko Sergey V.,Howorka Edward,Wright Jonathan H.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Micro effects of macro announcements: real-time price discovery in foreign exchange;Andersen;American Economic Review,2003

2. Can information heterogeneity explain the exchange rate determination puzzle?;Bacchetta;American Economic Review,2006

3. Liquidity provision in the overnight foreign exchange market;Bjonnes;Journal of International Money and Finance,2005

4. Price discovery in the U.S. treasury market: the impact of orderflow and liquidity on the yield curve;Brandt;Journal of Finance,2004

5. An empirical study of liquidity and information effects of order flow on exchange rates;Breedon,2004

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