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1.
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This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research ha[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The author compares the performance of three Gaussian approximation methods—by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001)—in estimating a model of [...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-yea[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make t[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. The authors empirically i[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus subs[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day. The authors use [...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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