[PDF] Top 20 Essays in FX market microstructure

... the market maker’s constraints on her inventory posi- tions influence the level of liquidity of the ...the market maker to maintain her presence in the ...of market makers which are operating in the ... See full document

... customer FX markets are theoretically identified in this ...of market transparency. Compared to the inter-dealer market, where most transactions are conducted through the electronic dealing system ... See full document

... interdealer market, Saunders et ...important market participants: The interdealer brokers ...special market entities in the fixed income markets, despite their ...ing market efficiency, and ... See full document

... against uninformed or liquidity traders. Both papers show longer durations have a negative impact on quote revisions, suggesting in periods where trading is fast, the price impact is also higher. In this study, we ... See full document

... There is substantial empirical evidence that traditional approaches of exchange rate determination (e.g., asset markets) fail to explain exchange rate movements in the short- run, see Meese and Rogoff (1983) and Frankel ... See full document

... recent market microstructure research has been whether knowledge of the structure of the limit order book is informative regarding future price ...use market orders (see Glosten, 1994; Rock, 1996; ... See full document

... the market liquidity of sovereign bond markets has received limited attention in the literature, thus ...bond market liquidity seldom focuses on sovereign bond markets, with the exception of the US Treasury ... See full document

... The results show that cross-border bank credit did play a predominant role in the transmission of the US subprime crisis to worldwide equity markets. This finding is pervasive across country groups but the magnitude of ... See full document

... exchange market have been exploited for decades, with three main underlying assumptions: all information is publicly available, all market participants are homogeneous, and the market structure is ... See full document

... The market microstructure literature identifies three main components of trading costs (see ...As market makers cannot differentiate between informed and uninformed investors, they will expect to ... See full document

... Despite ITS theoretical importance, empirical findings seem at odds with its mech- anism. Tucker et al. (2013) point out that real estate sellers who have been on the market longer trade at lower prices, when ... See full document

... There is a growing body of literature that provides evidence that informed traders do trade in option markets and the option market makers' hedging activities affect the costs of liquidi[r] ... See full document

... Generally, confidential treatment requests are granted if the investment manager can demonstrate that confidential treatment is in the public interest or for the pro- tection of the investors. According to the SEC 4 , ... See full document

... of microstructure noise documented in many articles (see, Zhang et ...The market microstructure noise arises because of frictions in the trading process such as price discreteness (price changes are ... See full document

... the market, then it might be reasonable to expect p h ≈ ...of market makers actually manipulate the ...from market making provided that the return distribution is not highly asymmetric 2 ...traders, ... See full document

... To this end, I construct a two-period model with a continuum of risk-neutral agents, who not only consume housing services but also speculate in the housing market for the future resale value of housing. The ... See full document

... Using data on 75 changes in the federal funds target from September 1974 through September 1979, Cook and Hahn [16] find that these target changes caused larger movements in short-term rates than in intermediate- and ... See full document

... An empirical investigation is conducted on the effects and implications of the imposition of: 1 daily price limits on the price volatility, stock returns and trading activity of individu[r] ... See full document

... in market transactions over a defined period of time ...the FX market activity exhibits a double U-shape or camel-shape pattern due to the different trading hours of FX market ...of ... See full document

... MID market activity on normal days (as measured by quoting intensity and trading volume) was fairly balanced between the first and the second half of the trading day (Figure 5 and Table ...the market, ... See full document