Download or read book Microstructure Effects Bid ask Spreads and Volatility in the Spot Foreign Exchange Market Pre and Post EMU written by Frank McGroarty and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mircostructure Effects Bid ask Spreads and Volatility in the Spot Foreign Exchange Market Pre and Post EMU written by Frank McGroarty and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Microstructure of the Foreign Exchange Market written by Nikolaos Tsorakidis and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered.
Download or read book Anticipations of Foreign Exchange Volatility and Bid ask Spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of the spread is close to linear, some form of nonlinearity can still be detected from the data.
Download or read book Financial Derivatives written by and published by PediaPress. This book was released on with total page 1231 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by . This book was released on 1996-06-15 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: These nine innovative essays use a microstructure approach to analyze the working of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and high level of exchange rate volatility that has puzzled many observers.
Download or read book FX PROFICIENT ROUTE TO SUCCESS written by Chiwendu Okenwa and published by Lulu.com. This book was released on 2011-12-18 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guidance to Forex trading success for anyone who wants to get started, or novices who is sick and tired of being sick and tired of marketing wizards, who took them through an instant get-rich course. An eye-opening first edition that offers new traders some serious food for thought. In a time of increasingly global financial meltdown, FX Proficient Route to Success is a perfect antidote: takes the individuals on a guided-excursion behind the scenes to see what is really going-on in the financial markets. It's clear, calm, in simple - elegant language. Shows you everything from preparation to execution. It is well-thought-out with beginners in mind but advanced traders can use it for reference as well.
Download or read book Market Microstructure In Practice Second Edition written by Charles-albert Lehalle and published by World Scientific. This book was released on 2018-01-18 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.
Download or read book International Studies Review written by and published by . This book was released on 2006 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lecture Notes In Market Microstructure And Trading written by Peter Joakim Westerholm and published by World Scientific. This book was released on 2018-11-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Download or read book The Microstructure of Currency Markets written by Paolo Pasquariello and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the intra-day relationship between bid-ask spreads and quot;marketquot; return volatility for U.S. Dollar/Deutschemark quotes. We are able to identify a statistically and economically significant quot;Reverse U-shapedquot; pattern in the bid-offer spread in 1996. Tests of the stability and ordering of quot;marketquot; volatility, performed across several different fractions of the day, reveal that variances of intra-day returns are heterogeneous and ordered, declining around the Asian lunch break, increasing steadily during the London morning trading hours, peaking at the opening of New York to subsequently fall with the closing of the European markets. Results also indicate that quot;marketquot; volatility is significantly higher during intra-day versus overnight periods. Then, we introduce a structural model that attempts to explain those empirical regularities by capturing some currency-specific features of the data: possibly asymmetric and stochastic trading cost structure, discrete directional updates and parameters' temporal heterogeneity, and by relating the bid-ask spread to different sources of random noise. We evaluate these parameters via GMM using a set of convenient unconditional intra-day moments implied by the basic configuration of the model. Analysis of the resulting estimated patterns reveals that trading costs play a significant role in explaining the intra-day variability of bid and offer currency returns. Inventory considerations appear to be more relevant in the trading morning, while the perceived risk of arrival of informed trades seems more likely to affect the dealers' cost structure in the afternoon. The contribution of the quot;truequot; currency risk to the total variability of posted bid and ask quotes' returns is not surprisingly highest with the opening of the European markets.
Download or read book Foreign Exchange Market Intervention written by Nevi Danila and published by Nova Science Publishers. This book was released on 2019 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign Exchange Market Intervention: Market Microstructure Models and Empirical Investigations investigates the effectiveness of government intervention from the market microstructure perspective, especially focusing on its impact concerning the setting of bid-ask exchange rates (from the Plaza Agreement to the Louvre Accord). The authors test the effect of intervention on the dealer�s behavior in controlling his/her inventory to set the quotation of exchange rates. The authors also examine the relative importance of the inventory cost in three components of the bid-ask spread. Finally, they analyze the impact of intervention on a spread. This book develops new econometric models which have produced results for sound FOREX and financial management strategies. This book is multi-disciplinary, technical and specialized, but focused on contemporary and emerging issues in FOREX and financial markets in addressing the issues of financial markets and for theory and hypothesis development which have general implications for finance theory.
Download or read book Tests of Microstructural Hypotheses in the Foreign Exchange Market written by Richard K. Lyons and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the inventory-control channel. We find that trades have both a strong information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of equity-market studies also find an information effect; however, these studies typically interpret this as evidence of inside information. Since there are no insiders in the foreign exchange market, this finding suggests a broader conception of the information environment, at least in this context.
Download or read book Were Bid Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis written by Mr. Törbjörn I. Becker and published by International Monetary Fund. This book was released on 2005-02-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. A key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estimates of standard models show that spreads during the crisis were in most cases tighter than spreads predicted by the models and there are few cases of excessive spreads. The result is largely explained by the substantial increase in exchange rate volatility during the crisis and to some extent by the level change. The empirical models have greater explanatory power for emerging- than for mature-market currencies.
Download or read book EMU Exchange Rate Volatility and Bid ask Spreads written by Nuno Cassola and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Este estudio trata dos problemas relacionados con la determinacion de la horquilla del tipo de cambio en la transicion a la UEM. En primer lugar, se analiza como un anuncio creible de tipos de conversion afecta a la volatilidad de los tipos de cambio en la fase final de la introduccion del euro. En segundo lugar, se discute la relacion teorica que existe entre incertidumbre y horquilla de los tipos de cambio. La teoria sugiere que hay una asociacion positiva entre incertidumbre de los tipos de cambio y costes de transaccion y que se observaria una reduccion gradual de la volatilidad de los tipos de cambio en la transicion a la UEM. Esta teoria implica una contraccion gradual de la horquilla de los tipos de cambio en el periodo de transicion. Estas hipotesis se comprueban empiricamente en el caso de los tipos de cambio del escudo portugues frente al marco aleman. (nc) (cs) (pgp).
Download or read book The Behavior of Currencies during Risk off Episodes written by Mr.Reinout De Bock and published by International Monetary Fund. This book was released on 2013-01-11 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen, Swiss franc, and U.S. dollar appreciate against other G-10 and emerging market currencies. The pattern of these moves can be explained by a combination of fundamental factors, such as the nominal interest rate, the international investment position and measures of exchange rate misalignment, and market-liquidity factors, such as bid-offer spreads and restrictions on international capital flows. We also find that currency performance in a risk-off episode has become more related to a currency?s yield and relationship to broader risks in recent years.
Download or read book Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders written by Yin-Wong Cheung and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report findings from a survey of United States foreign exchange traders. Our results indicate that (i) technical trading best characterizes about 30% of traders, with this proportion rising from five years ago; (ii) news about macroeconomic variables is rapidly incorporated into exchange rates; (iii) the importance of individual macroeconomic variables shifts over time, although interest rates always appear to be important, and; (iv) economic fundamentals are perceived to be more important at longer horizons. The short run deviations of exchange rates from their fundamentals are attributed to excess speculation and institutional customer/hedge fund manipulation. Speculation is generally viewed positively, as enhancing market efficiency and liquidity, even though it exacerbates volatility. Central bank intervention does not appear to have a substantial effect, although there is general agreement that it increases volatility. Finally, traders do not view purchasing power parity as a useful concept, even though a significant proportion (40%) believe that it affects exchange rates at horizons of over six months.
