FX Trading and Exchange Rate Dynamics

By Martin D. D. Evans. 2002

211 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6e03146ebf3f98d417dfc2aee50ed326b51b201b

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In Economics and Econometrics

Citations in the corpus

Exchange Rate Fundamentals and Order Flow (2012, unknown): “See the discussion in Evans (2004).”
Time-Varying Liquidity in Foreign Exchange (2002, methodology): “For more detail on the Reuters Dealing 2000-1 System see Lyons (2001) and Evans (2001) .”
Dealer Behavior and Trading Systems in Foreign Exchange Markets (2005, unknown): “Compared with new data sets with transaction prices from electronic trading systems, e.g. Payne (2003) (D2000-2) and Evans (2002) (D2000-1), our data set has the advantage that it includes dealer inventories and reflects the dealers’ choice between different trading systems.”
Macroeconomic news, order flows and exchange rates (2003, unknown): “As shown in a number of papers since Meese and Rogoff (1983), macroeconomic models have only been able to explain exchange rates in the long run, whereas the more recent microstructure models have only been considered successful at explaining high frequency exchange rate fluctua tions at the daily l”
The on-the-run liquidity phenomenon (2009, unknown): “9 Evans (2002) and Evans and Lyons (2002, 2008), Evans and Lyons (2008) make a similar argument for currency markets.”
How is Macro News Transmitted to Exchange Rates (2008, unknown): “Order ‡ow’s role in determining currency prices is documented by Payne (2003), Rime (2000), Evans and Lyons (2002a,b), and Evans (2002) , among many others.”
High-Frequency Jump Analysis of the Bitcoin Market* (2017, background): “ proxy for market illiquidity. • OF i is the absolute order ﬂow imbalance, deﬁned as the absolute value of the diﬀerence 8For a study on the importance of the order ﬂow on price discovery, see, e.g., Evans (2002), Evans and Lyons (2002), Green (2004) and Brandt and Kavajecz (2004). 9Our results are ”
The Cross-Section of Expected Trading Activity (2007, background): “Fama and French (1992) document that the average return on value stocks is higher than that on growth stocks, indicating that investors may prefer one of these categories of stocks over another.”
Arbitrage in the foreign exchange market: Turning on the microscope (2008, unknown): “The growing literature on high-frequency exchange rate behavior and FX market microstructure has not–to the best of our knowledge–studied arbitrage, focusing instead on a variety of other issues relating to international currency patterns, trading behavior, and the role of order flow in explaining e”