Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.
There is a more recent version of this item available. 

PDF
MPRA_paper_59770.pdf Download (2MB)  Preview 
Abstract
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange markets in the conditions of the discrete information absorption processes in the diffusion  type financial systems with the induced nonlinearities. Going from the academic literature, we discuss the probability theory and the statistics theory application to accurately characterize the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We consider the financial analysis methods, including the macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies exchange rates dynamics in the short and long time periods. We discuss the application of the StratanovichKalmanBucy filtering algorithm in the Stratanovich – Kalman – Bucy filter and the particle filter to accurately estimate the time series and predict the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We research the influence by discrete information absorption on the ultra high frequency electronic trading strategies creation and execution during the electronic trading in the foreign currencies exchange markets. We formulate the Ledenyov law on the limiting frequency (the cutoff frequency) for the ultra high frequency electronic trading in the foreign currencies exchange markets.
Item Type:  MPRA Paper 

Original Title:  On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets 
English Title:  On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets 
Language:  English 
Keywords:  absorption of information, diffusion of information, transmission of information, information theory, ultra high frequency electronic trading, processing frequency, algorithmic trading, informed trading, noise trading, currencies exchange rate, vehicle currency, interest rate, retail aggregator, liquidity aggregator, interdealer trade orders flow direction, stoploss order, bid  ask spreads, price discovery process, capital inflow, capital outflow, carry trade strategy, financial liquidity, foreign currencies exchange market micro structure, foreign currencies exchange rate dynamics, Wiener filtering theory, StratanovichKalmanBucy filtering algorithm, Stratanovich – Kalman – Bucy filter, particle filter, nonlinearities, Ledenyov law on limiting frequency for ultra high frequency electronic trading in foreign currencies exchange markets, econophysics, econometrics, global foreign exchange market, global capital market 
Subjects:  C  Mathematical and Quantitative Methods > C0  General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C41  Duration Analysis ; Optimal Timing Strategies C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C46  Specific Distributions ; Specific Statistics C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling F  International Economics > F1  Trade > F17  Trade Forecasting and Simulation F  International Economics > F3  International Finance > F30  General F  International Economics > F3  International Finance > F31  Foreign Exchange F  International Economics > F3  International Finance > F32  Current Account Adjustment ; ShortTerm Capital Movements G  Financial Economics > G1  General Financial Markets G  Financial Economics > G1  General Financial Markets > G17  Financial Forecasting and Simulation 
Item ID:  59770 
Depositing User:  Prof. Viktor O. Ledenyov 
Date Deposited:  09. Nov 2014 08:18 
Last Modified:  09. Nov 2014 08:45 
References:  References: Finances Science, Economics Science, Foreign Currencies Exchange Markets Science: 1. Joseph Penso de la Vega 1668, 1996 Confusión de Confusiones republished by John Wiley and Sons Inc USA. 2. Mortimer Th 1765 Every man his own broker 4th edition London UK. 3. Bagehot W 1873, 1897 Lombard Street: A description of the money market Charles Scribner's Sons New York USA. 4. von BöhmBawerk E 1884, 1889, 1921 Capital and interest: History and critique of interest theories, positive theory of capital, further essays on capital and interest Austria; 1890 Macmillan and Co edition Smart W A translator London UK http://files.libertyfund.org/files/284/0188_Bk.pdf . 5. Bachelier L 1900 Theorie de la speculation Annales de l’Ecole Normale Superieure Paris France vol 17 pp 21 – 86. 6. Schumpeter J A 1906 Über die mathematische methode der theoretischen ökonomie ZfVSV Germany. 7. Schumpeter J A 1933 The common sense of econometrics Econometrica. 8. Schumpeter J A 1911; 1939, 1961 Theorie der wirtschaftlichen entwicklung; The theory of economic development: An inquiry into profits, capital, credit, interest and the business cycle Redvers Opie (translator) OUP New York USA. 9. Schumpeter J A 1939 Business cycle McGrawHill New York USA. 10. Schumpeter J A 1947 The creative response in economic history Journal of Economic History vol 7 pp 149 – 159. 11. Slutsky E E 1910 Theory of marginal utility M Sc Thesis Vernadsky National Library Kiev Ukraine. 12. Slutsky Е Е 1912 Theory of correlation and elements of study about distribution curves Kiev Commerce Institute Bulletin 16 pp 1 – 208 Kiev Ukraine. 13. Slutsky Е Е 1913 On the criterion of goodness of fit of the regression lines and the best method of fitting them to the data Journal Royal Statistics Society vol 77 part I pp 78 – 84. 14. Slutsky Е Е 1914 Sir William Petty: Short overview of his economic visions with attachment of his several important research works Kiev Commerce Institute Bulletin 18 pp 5 – 48 Kiev Ukraine. 15. Slutsky Е Е 1915 Sulla teoria sel bilancio del consumatore Giornale degli economisti e rivista di statistica 51 no 1 pp 1 – 26 Italy. 16. Slutsky Е Е 1922a Statistics and mathematics. Review of Kaufman Statistics Bulletin 3 – 4 pp 104 – 120. 17. Slutsky E E 1922b To the question of logical foundations of probability calculation Statistics Bulletin 9  12 pp 13 – 21. 18. Slutsky E E 1923a On the some patterns of correlation connection and the systematic error of correlation coefficient Statistics Bulletin 1 – 3 pp 31 – 50. 19. Slutsky E E 1923b On a new coefficient of mean density of population Statistics Bulletin 4 – 6 pp 5 – 19. 20. Slutsky E E 1923c On calculation of state revenue from emission of paper money Local Economy 2 pp 39 – 62 Kiev Ukraine. 21. Slutsky E E 1925a On the law of large numbers Statistics Bulletin 7 – 9 pp 1 – 55. 22. Slutsky E E 1925b Ueber stochastische Asymptoten und Grenzwerte Metron Padova Italy vol 5 no 3 pp 3 – 89. 23. Slutzhi E E 1926 Ein Beitrag zur Formalpraxeologischen Grundlegung der Oekonomik Ann de la classe des sci socecon Akad Oukrainienne des Sciences Kiev Ukraine vol 4 pp 3 – 12. 24. Slutsky E E 1927a The summation of random causes as sources of cyclic processes Problems of Conjuncture (Voprosy Kon’yunktury) vol 3 issue 1 pp 34 – 64 Moscow Russian Federation. 25. Slutzhi Е Е 1927b Zur Kritik des BohmBawerkschen Wertbegriffs und seiner Lehre von der Messbarkeit des Wertes Schmollers Jb 51 (4) pp 37 – 52. 26. Slutsky E E 1929 Sur l’erreur quadratique mogenne du coefficient de correlation dans le cas des suites des epreuves non independantes Comptes rendus 189 pp 612 – 614. 27. Slutsky E E 1935 To the extrapolation problem in connection with forecast problem Geophysics Journal 5 (3) pp 263 – 277. 28. Slutsky E E 1937a Quelche propositione relative alla teoria delle funzioni aleatorie Giornale dell Istituto Italiano degli Attuari 8 no 2 pp 3 – 19. 29. Slutsky E E 1937b The summation of random causes as the source of cyclical processes Econometrica 5 pp 105 – 146. 30. Slutsky E E 1942, 1999 Autobiography of December 3, 1942 Economics School 5 pp 18 – 21. 31. Slutsky E E 1960 Selected research works (Izbrannye trudy) Academy of Sciences of USSR Moscow Russian Federation. 32. von Mises L 1912 The theory of money and credit Ludwig von Mises Institute Auburn Alabama USA http://mises.org/books/Theory_Money_Credit/Contents.aspx . 33. Hayek F 1945 The use of knowledge in society American Economic Review 35 pp 519 – 530. 34. Ellis H, Metzler L (editors) 1949 Readings in the theory of international trade Blakiston Philadelphia USA. 35. Machlup F 1949 The theory of foreign exchanges in Readings in the theory of international trade Ellis H, Metzler L (editors) Blakiston Philadelphia USA. 36. Robinson J 1949 The foreign exchanges in Readings in the theory of international trade Ellis H, Metzler L (editors) Blakiston Philadelphia USA. 37. Friedman M 1953 The case for flexible exchange rates in Essay in positive economics University of Chicago Press Chicago USA. 38. Friedman M (editor) 1953 Essays in positive economics Chicago University Press Chicago USA. 39. Baumol W 1957 Speculation, profitability, and stability Review of Economics and Statistics 39 pp 263 – 271. 40. Debreu G 1959 Theory of value Cowles Foundation Monograph vol 17 John Wiley & Sons Inc New York USA. 41. Shiryaev A N 1961 The problem of the most rapid detection of a disturbance in a stationary process Soviet Mathematical Doklady 2 pp 795 – 799. 42. Shiryaev A N 1963 On optimal methods in quickest detection problems Theory of Probability and its Applications 8 (1) pp 22 – 46. 43. Shiryaev A N 1964 On Markov sufficient statistics in nonadditive Bayes problems of sequential analysis Theory of Probability and its Applications 9 (4) pp 670 – 686. 44. Shiryaev A N 1965 Some exact formulas in a ’disorder’ problem Theory of Probability and its Applications 10 pp 348 – 354. 45. Grigelionis B I, Shiryaev A N 1966 On Stefan’s problem and optimal stopping rules for Markov processes Theory of Probability and its Applications 11 pp 541 – 558. 46. Shiryaev A N 1967 Two problems of sequential analysis Cybernetics 3 pp 63 – 69. 47. Liptser R S, Shiryaev A N 1977 Statistics of random processes SpringerVerlag New York USA. 48. Shiryaev A N 1972 Random processes Moscow State University Press Russian Federation. 49. A. N. Shiryaev A N 1973, 1974 Probability, statistics, random processes Moscow State University Press vols 1, 2 Russian Federation. 50. Shiryaev A N 1978, 2008b Optimal stopping rules 1st edition, 3rd edition Springer ISSN 01724568 Library of Congress Control Number: 2007934268 Berlin Germany pp 1 – 217. 51. Shiryaev A N 1988 Probability SpringerVerlag Berlin Heidelberg Germany. 52. Shiryaev A N 1995 Probability 2nd edition Springer  Verlag ISBN 0387945490 New York USA pp 1 – 621. 53. Shiryaev A N 1998a Foundations of stochastic financial mathematics vol 1 Fazis Scientific and Publishing House Moscow Russian Federation ISBN 5703600448 pp 1 – 492. 54. Shiryaev A N 1998b Foundations of stochastic financial mathematics vol 2 Fazis Scientific and Publishing House Moscow Russian Federation ISBN 5703600448 pp 493 – 1017. 55. Shiryaev A N 1999 Essentials of stochastic finance: Facts, models, theory Advanced Series on Statistical Science & Applied Probability vol 3 World Scientific Publishing Co Pte Ltd Kruzhilin N (translator) ISBN 9810236050 Singapore pp 1 – 834. 56. Shiryaev A N, Spokoiny V G 2000 Statistical experiments and decisions: Asymptotic theory World Scientific Publishing Co Pte Ltd ISBN 9810241011 Singapore pp 1 – 283. 57. Graversen S E, Peskir G, Shiryaev A N 2001 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum Theory of Probability and its Applications 45 pp 125 – 136 MR1810977 http://www.ams.org/mathscinetgetitem?mr=1810977 . 58. Kallsen J, Shiryaev A N 2001 Time change representation of stochastic integrals Theory of Probability and its Applications 46 pp 579  585 MR1978671 http://www.ams.org/mathscinetgetitem?mr=1978671 . 59. Kallsen J, Shiryaev A N 2002 The cumulant process and Esscher’s change of measure Finance Stoch 6 pp 397 – 428 MR1932378 http://www.ams.org/mathscinetgetitem?mr=1932378 . 60. Shiryaev A N 2002 Quickest detection problems in the technical analysis of the financial data Proceedings Mathematical Finance Bachelier Congress Paris France (2000) Springer Germany pp 487 – 521 MR1960576 http://www.ams.org/mathscinetgetitem?mr=1960576 . 61. Jacod J, Shiryaev A N 2003 Limit theorems for stochastic processes 2nd edition Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences] 288 Springer Berlin Germany MR1943877 http://www.ams.org/mathscinetgetitem?mr=1943877 . 62. Shiryaev A N 2004 Kolmogorov and modern mathematics International Conference at Mathematical Institute named after V A Steklov June 1621, 2003 Russian Academy of Sciences Moscow Russian Federation ISBN 5984190036 pp 1 – 195. 63. Shiryaev A N, Grossinho M R, Oliveira P E, Esquível M L (editors) 2006 Stochastic finance Springer Germany ISBN10:0387282629 pp 1 – 364. 64. Peskir G, Shiryaev A N 2006 Optimal stopping and freeboundary problems Lectures in Mathematics ETH Zürich Birkhäuser Switzerland MR2256030 http://www.ams.org/mathscinetgetitem?mr=2256030 . 65. Feinberg E A, Shiryaev A N 2006 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings Statistics & Decisions 24 (4) pp 445 – 470. 66. Kabanov Yu, Lipster R, Stoyanov J 2006 The Shiryaev festschrift: From stochastic calculus to mathematical finance Springer Germany pp 1 – 668. 67. du Toit J, Peskir G, Shiryaev A N 2007 Predicting the last zero of Brownian motion with drift Cornell University NY USA pp 1 17 http://arxiv.org/abs/0712.3415v1 . 68. Shiryaev A N 2008a Generalized Bayesian nonlinear quickest detection problems: on Markov family of sucient statistics Mathematical Control Theory and Finance Proceedings of the Workshop of April 10–14 2007 Lisbon Portugal Sarychev A et al (editors) Springer Berlin Germany pp 377 – 386. 69. Eberlein E, Papapantoleon A, Shiryaev A N 2008 On the duality principle in option pricing: Semimartingale setting Finance Stoch 12 pp 265 – 292 http://www.ams.org/mathscinetgetitem?mr=2390191 . 70. Shiryaev A N, Novikov A A 2009 On a stochastic version of the trading rule "Buy and hold" Statistics & Decisions 26 (4) pp 289 – 302. 71. Eberlein E, Papapantoleon A, Shiryaev A N 2009 Esscher transform and the duality principle for multidimensional semimartingales The Annals of Applied Probability vol 19 no 5 pp 1944 – 1971 http://dx.doi.org/10.1214/09AAP600 http://arxiv.org/abs/0809.0301v5 . 72. Shiryaev A N, Zryumov P Y 2009 On the linear and nonlinear generalized Bayesian disorder problem (discrete time case) optimality and risk – modern trends in mathematical finance The Kabanov Festschrift Delbaen F et al (editors) Springer Berlin Germany pp 227 – 235. 73. Gapeev P V, Shiryaev A N 2010 Bayesian quickest detection problems for some diffusion processes Cornell University NY USA pp 1 – 25 http://arxiv.org/abs/1010.3430v2 . 74. Karatzas I, Shiryaev A N, Shkolnikov M 2011 The onesided Tanaka equation with drift Cornell University NY USA http://arxiv.org/abs/1108.4069v1 . 75. Shiryaev A N, Zhitlukhin M V 2012 Optimal stopping problems for a Brownian motion with a disorder on a finite interval Cornell University NY USA pp 1 – 10 http://arxiv.org/abs/1212.3709v1 . 76. Zhitlukhin M V, Shiryaev A N 2012 Bayesian disorder detection problems on filtered probability spaces Theory of Probability and Its Applications 57 (3) pp 453 – 470. 77. Feinberg E A, Mandava M, Shiryaev A N 2013 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes Cornell University NY USA pp 1 – 15 http://arxiv.org/abs/1301.6998v3 . 78. Fama E F 1965 The behavior of stock market prices Journal of Business 38 pp 34 – 105. 79. Fama E F, Blume M 1966 Filter rules and stock market trading profits Journal of Business 39 pp 226 – 241. 80. Fama E F 1970 Efficient capital markets: A review of theory and empirical work Journal of Finance 25 (2) pp 383 – 417. 81. Fama E 1984 Forward and spot exchange rates Journal of Monetary Economics 14 pp 319 – 338. 82. Fama E, French K 1988 Permanent and temporary components of stock prices Journal of Political Economy 96 pp 246 – 273. 83. Fama E F, French K R 1996 Multifactor explanations of asset pricing anomalies Journal of Finance 51 (1) pp 55 – 84. 84. Fama E F 1998 Market efficiency, longterm returns, and behavioral finance Journal of Financial Economics 49 pp 283 – 306. 85. Fama E, Hansen L P, Shiller R 2013 Lectures: 2013 Nobel prize in economic sciences http://www.youtube.com/watch?v=WzxZGvrpFu4 , www.nobelprize.org . 86. Demsetz H 1968 The cost of transacting Quarterly Journal of Economics 82 pp 33 – 53. 87. Radner R 1968 Competitive equilibrium under uncertainty Econometrica 36 pp 31 – 58. 88. Bates J M, Granger C W J 1969 The combination of forecasts Operations Research Quarterly 20 pp 451 – 468. 89. Akerlof G 1970 The market for lemons: Qualitative uncertainty and the market mechanism Quarterly Journal of Economics 89 pp 488 – 500. 90. Arrow K 1970 Essays in the theory of risk bearing Markham Chicago USA. 91. Black F 1971 Toward a fully automated exchange Financial Analysts Journal 27 pp 29 – 35 and pp 86 – 87. 92. Black F, Scholes M 1973 The pricing of options and corporate liability Journal of Political Economics 81 pp 637 – 654. 93. Black F 1986 Noise Journal of Finance 41 (3) pp 529 – 543. 94. Merton R C 1973 Theory of rational option pricing Bell Journal of Economics and Management Science 4 pp 141 – 183. 95. Newbold P, Granger C W J 1974 Experience with forecasting univariate time series and the combination of forecasts Journal of the Royal Statistical Society 137 pp 131 – 165. 96. Fleming J M 1975 Floating exchange rates, asymmetrical intervention and the management of international liquidity IMF Washington USA http://www.imf.org . 97. Shapiro A C 1975 Exchange rate changes, inflation, and the value of the multinational corporation 98. Dooley M P, Shafer J R 1976 Analysis of shortrun exchange rate behaviour: March 1973 to September 1975 Federal Reserve Board International Finance Discussion Paper no 123 Federal Reserve Board USA. 99. Dornbusch R 1976 Expectations and exchange rate dynamics Journal of Political Economy 84 (6) pp 1161 – 1176. 100. Dornbusch R 1987 Exchange rates and prices American Economic Review 77 (1) pp 93 – 106. 101. Frankel J A 1976 A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence Scandinavian Journal of Economics 78 pp 200 – 224. 102. Frankel J A 1979 On the mark: A theory of floating exchange rates based on real interest differentials American Economic Review 69 pp 610 – 622. 103. Frankel J A 1982a In search of the exchange risk premium: A six currency test assuming meanvariance optimization Journal of International Money and Finance 1 pp 255 – 274. 104. Frankel J A 1982b A test of perfect substitutability in the foreign exchange market Southern Economic Journal 49 pp 406 – 416. 105. Frankel J A (editor) 1983 Exchange rate and international macroeconomics University of Chicago Press Chicago USA. 106. Frankel J A, Froot K 1987, Using survey data to test standard propositions regarding exchange rate expectations American Economic Review 77 (1) pp 133 – 153. 107. Frankel J A, Froot K 1990a Chartists, fundamentalists, and trading in the foreign exchange market American Economic Review 80 pp 181 – 185. 108. Frankel J A, Froot K 1990b Chartists, fundamentalists, and the demand for dollars in Private behavior and government policy in interdependent economies Courakis A, Taylor M P Clarendon Oxford UK. 109. Frankel J A, Froot K 1990c Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market Working Paper no 3470 National Bureau of Economic Research Cambridge Massachusetts USA. 110. Frankel J A, Goldstein M, Mason P 1991 Characteristics of a successful exchange rate system IMF Washington USA http://www.imf.org . 111. Frankel J A 1992 In search of the exchange rate premium: A sixcurrency test assuming meanvariance optimization Journal of International Money and Finance 1. 112. Frankel J A (editor) 1993 On exchange rates MIT Press Cambridge MA USA. 113. Frankel J A, Rose A K 1994 A survey of empirical research on nominal exchange rates NBER Working Paper no 4865 NBER USA. 114. Frankel J A, Rose A 1995 Empirical research on nominal exchange rates in Handbook of international economics Grossman G, Rogoff K (editors) Elsevier Science vol 3 pp 1689 – 1729. 115. Frankel J A, Galli G, Giovannini A (editors) 1996 Introduction in The microstructure of foreign exchange markets University of Chicago Press Chicago USA ISBN: 0226260003 pp 1 – 15 http://www.nber.org/books/fran961 , http://www.nber.org/chapters/c11360 . 116. Frankel J A, Galli G, Giovannini A (editors) 1996 The microstructure of foreign exchange markets University of Chicago Press Chicago USA. 117. Frankel J A, Poonawala J 2004 The forward market in emerging currencies: Less biased than in major currencies Working Paper Harvard University USA. 118. Garman M 1976 Market microstructure Journal of Financial Economics 3 pp 257 – 275. 119. Grossman S 1976 On the efficiency of competitive stock markets when agents have diverse information Journal of Finance 31 pp 573 – 585. 120. Grossman S, Stiglitz J 1980 On the impossibility of informationally efficient markets American Economic Review 70 pp 393 – 408. 121. Grossman S, Miller M 1988 Liquidity and market structure Journal of Finance 43 pp 617 – 633. 122. Kouri P J K 1976 The exchange rate and the balance of payments in the short run and in the long run: A monetary approach The Scandinavian Journal of Economics 78 (2) pp 280 – 304. 123. McKinnon R 1976 Floating exchange rates, 197374: The emperor’s new clothes CarnegieRochester Conference Series on Public Policy 3 pp 79 – 114. 124. Mussa M 1976 The exchange rate, the balance of payments, and monetary and fiscal policy under a regime of controlled floating Scandinavian Journal of Economics 78 pp 229 – 248. 125. Mussa M 1979 Empirical regularities in the behaviour of exchange rates and theories of the foreign exchange market in Brunner K, Meltzer A H (editors) Policies for employment, prices and exchange rates CarnegieRochester Conference Series on Public Policy 11 NorthHolland Publishing Company Elsevier Amsterdam The Netherlands pp 9 – 57. 126. Mussa M 1981 The role of official intervention Group of Thirty New York NY USA. 127. Mussa M 1984 The theory of exchange rate determination in Exchange rates in theory and practice Bilson J, Marston R (editors) University of Chicago Press Chicago USA. 128. Williamson J 1976 Exchange rate flexibility and reserve use Scandinavian Journal of Economics 78 (2) pp 327 – 339. 129. Branson W 1977 Asset markets and relative prices in exchange rate determination Sozialwissenschaftliche Annalen 1 pp 69 – 89. 130. Branson W, Halttunen H, Masson P 1977 Exchange rates in the short run: The Deutschemark rate European Economic Review 10 pp 303 – 324. 131. Branson W, Henderson D 1985 The specification and influence of asset markets in Handbook of international economics vol 2 Jones R, Kenen P (editors) NorthHolland Publishing Company Amsterdam The Netherlands. 132. Clark, Logue, Sweeney (editors) 1977 The effects of exchange rate adjustment Department of the Treasury Washington DC USA. 133. Girton L, Henderson D 1977 Central bank operations in foreign and domestic assets under fixed and flexible exchange rates in The effects of exchange rate adjustment Clark P, Logue D, Sweeney R (editors) Department of the Treasury Washington DC pp 151 – 179. 134. Cornell W B, Dietrich J K 1978 The efficiency of the market for foreign exchange under floating exchange rates Review of Economics and Statistics 60 (1) pp 111 – 120. 135. Cornell W B 1982 Money supply announcements, interest rates, and foreign exchange Journal of International Money and Finance 1 pp 201 – 208. 136. Stoll H R 1978 The supply of dealer services in securities markets Journal of Finance 33 pp 1133 – 1151. 137. Stoll H R 1985 The stock exchange specialist system: An economic analysis Monograph Series in Finance and Economics: Monograph 19852 New York University NY USA. 138. Stoll H 1989 Inferring the components of the bidask spread: Theory and empirical tests Journal of Finance 44 pp 115 – 134. 139. Stoll H R 1995 The importance of equity trading costs: Evidence from securities firms’ revenues in Global equity markets: Technological, competitive, and regulatory challenges Schwartz R (editor) Irwin Homewood Illinois USA pp 98 – 120. 140. Huang R, Stoll H 1996 Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE Journal of Financial Economics 41 pp 313 – 357. 141. Huang R, Stoll H 1997 The components of the bidask spread: A general approach Review of Financial Studies 10 pp 995 – 1034. 142. Stoll H R 1998 Reconsidering the affirmative obligation of marketmakers Financial Analysts Journal 54 (5) pp 72 – 82. 143. Stoll H R, Schenzler Ch 2005 Trades outside the quotes: Reporting delay, trading option, or trade size? Journal of Financial Economics. 144. Stoll H R 2006 Electronic trading in stock markets Journal of Economic Perspectives 20 (1) pp 153 – 174. 145. Blanchard O 1979 Speculative bubbles, crashes, and rational expectations Economics Letters 14 pp 387 – 389. 146. Brunner K, Meltzer A H (editors) 1979 Policies for employment, prices and exchange rates CarnegieRochester Conference Series on Public Policy 11 NorthHolland Publishing Company Elsevier Amsterdam The Netherlands. 147. Deardorff A 1979 One way arbitrage and its implications for the foreign exchange markets Journal of Political Economy 87 pp 351  364. 148. Goodman S 1979 Foreign exchange rate forecasting techniques: Implications for business and policy The Journal of Finance 34 pp 415 – 424. 149. Aliber R (October) 1980 The integration of the offshore and domestic banking system Journal of Monetary Economics vol 6 issue 4 pp 509 – 526. 150. Aliber R 2002 The new international money game 6th edition University of Chicago Press Chicago USA. 151. Allen P, Kenen P 1980 Asset markets, exchange rates, and economic integration Cambridge University Press New York USA. 152. Amihud Y, Mendelson H 1980 Dealership markets: Market making with inventory Journal of Financial Economics 8 pp 31 – 53. 153. Amihud Y, Ho T, Schwartz R (editors) 1985 Market making and the changing structure of the securities industry Lexington Massachusetts USA. 154. Amihud Y 1994a Evidence on exchange rates and valuation of equity shares in Exchange rates and corporate finance Amihud Y, Levich R M (editors) Business One Irwin Homewood IL USA. 155. Amihud Y 1994b Exchange rates and the valuation of equity shares in Exchange rates and corporate performance Amihud Y, Levich R M (editors) Irwin New York USA pp 49 – 59. 156. Amihud Y, Levich R M (editors) 1994 Exchange rates and corporate finance Business One Irwin Homewood IL USA. 157. Hansen L P, Hodrick R J 1980 Forward exchange rates as optimal predictors of future spot rates: An econometric analysis Journal of Political Economy 88 (5) pp 829 – 853. 158. Hellwig M 1980 On the aggregation of information in complete markets Journal of Economic Theory 26 pp 279 – 312. 159. Hellwig M 1982 Rational expectations equilibrium with conditioning on past prices: A meanvariance example Journal of Economic Theory 26 pp 279 – 312. 160. Krugman P 1980 Vehicle currencies and the structure of international exchange Journal of Money, Credit, and Banking 12 pp 503 – 526. 161. Krugman P 1984 The international role of the dollar: Theory and prospect in Exchange rate theory and practice Bilson J, Marston R (editors) University of Chicago Press Chicago USA pp 261 – 278. 162. Krugman P 1991 Target zones and exchange rate dynamics Quarterly Journal of Economics 106 (3) pp 669 – 682. 163. Krugman P, Miller M 1993 Why have a target zone? CarnegieRochester Conference Series on Public Policy 38 pp 279 – 314. 164. Krugman P 1999 The return of depression economics W W Norton & Company New York USA. 165. Callier P 1981 One way arbitrage, foreign exchange and securities markets: A note Journal of Finance 36 pp 1177 – 1186. 166. Cohen K, Maier S, Schwartz R, Whitcomb D 1981 Transaction costs, order placement strategy , and existence of the bid  ask spread Journal of Political Economy 89 (2) pp 287 – 305. 167. Cox J C, Ingersoll Jr J E, Ross S A 1981 The relation between forward and futures prices Journal of Financial Economics 9 pp 321 – 346. 168. Diamond D, Verrecchia R 1981 Information aggregation in a noisy rational expectations economy Journal of Financial Economics 9 pp 221 – 235. 169. Diamond D 1982 Aggregate demand management in search equilibrium Journal of Political Economy 90 pp 881 – 894. 170. Fieleke N (February) 1981 Foreigncurrency positioning by US firms: Some new evidence Review of Economics and Statistics 63 no 1 pp 35 – 43. 171. Ho Th, Stoll H 1981 Optimal dealer pricing under transaction and return uncertainty Journal of Financial Economics 9 (1) pp 47 – 73. 172. Ho Th, Stoll H 1983 The dynamics of dealer markets under competition Journal of Finance 38 pp 1053 – 1074. 173. Loosignian A M 1981 Foreign exchange futures Dow Jones  Irwin Homewood IL USA. 174. Mussa M 1981 The role of official intervention Group of Thirty New York NY USA. 175. Stigum M 1981 Money market calculations: Yields, break  evens, and arbitrage Dow Jones  Irwin Homewood IL USA. 176. Stigum M 1990 The money market Dow Jones  Irwin Homewood IL USA. 177. Dooley M, Isard P 1982 A portfolio balance rational expectations model of the DollarMark exchange rate Journal of International Economics 12 pp 257 – 276. 178. Hansen L 1982 Large sample properties of generalized method of moments estimators Econometrica 50 pp 1029 – 1054. 179. Hodder J E 1982 Exposure to foreign exchangerate movements Journal of International Economics 13 (11) pp 375 – 386. 180. Milgrom P, Stokey N 1982 Information, trade and common knowledge Journal of Economic Theory 26 pp 17 – 27. 181. Taylor D 1982 Official intervention in the foreign exchange market, or, bet against the central bank Journal of Political Economy 90 (2) pp 356 – 368. 182. Bigman D, Taya T (editors) 1983 Exchange rate and trade instability Ballinger Cambridge Massachusetts USA. 183. Copeland T E, Galai D 1983 Information effects on the bidask spread The Journal of Finance 38 pp 1457 – 1469. 184. Dooley M P, Shafer J R 1983 Analysis of shortrun exchange rate behaviour: March 1973 to November 1981 in Exchange rate and trade instability Bigman D, Taya T (editors) Ballinger Cambridge Massachusetts USA pp 43  69. 185. Edwards S 1983 The demand for international reserves and exchange rate adjustments: The case of LDCs, 1964–1972 Economica 50 pp 269 – 280. 186. French K R 1983 A comparison of futures and forward prices Journal of Financial Economics 12 pp 311 – 342. 187. Garman M B, Kohlhagen S W 1983 Foreign currency option values Journal of International Money and Finance 2 pp 231 – 237. 188. Meese R A, Rogoff K 1983a Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics 14 pp 3 – 24. 189. Meese R A, Rogoff K 1983b The outofsample failure of empirical exchange rate models in Exchange rate and international macroeconomics Frankel J (editor) University of Chicago Press Chicago USA. 190. Rogoff K 1984 On the effects of sterilized intervention: An analysis of weekly data Journal of Monetary Economics 14 pp 133 – 150. 191. Rogoff K 1985 Can exchange rate predictability be achieved without monetary convergence? Evidence from the EMS European Economic Review 28 pp 93 – 115. 192. Meese R A 1986 Testing for bubbles in exchange markets Journal of Political Economy 94 pp 345 – 373. 193. Meese R A, Rogoff K 1988 Was it real? The exchange rateinterest differential relation of the modern floatingrate period Journal of Finance 43 pp 933  948. 194. Meese R A 1990 Currency fluctuations in the postBretton Woods era Journal of Economic Perspectives 4 pp 117 – 134. 195. Obstfeld M, Rogoff K 1995 Exchange rate dynamics redux Journal of Political Economy 103 pp 624 – 660. 196. Rogoff K 1996 The purchasing power parity puzzle Journal of Economic Literature 34 pp 647 – 668. 197. Obstfeld M, Rogoff K (August) 1998 Risk and exchange rates NBER Working Paper 6694 NBER USA in Helpman E, Sadka E (editors) Contemporary economic policy: Essays in honor of Assaf Razin Cambridge University Press Cambridge U.K. 198. Robinson P 1983 Nonparametric estimators for time series Journal of Time Series Analysis 4 pp 185 – 207. 199. Adler M, Dumas B 1984 Exposure to currency risk: Definition and measurement Financial Management 13 pp 41 – 50. 200. Backus D 1984 Empirical models of the exchange rate: Separating the wheat from the chaff Canadian Journal of Economics 17 pp 826 – 846. 201. Bilson J, Marston R (editors) 1984 Exchange rate theory and practice University of Chicago Press Chicago USA. 202. Booth L D 1984 Bidask spreads in the market for forward exchange Journal of International Money and Finance 3 (2) pp 209 – 222. 203. Engel Ch M, Frankel J A 1984a Why interest rates react to money announcements: An answer from the foreign exchange market Journal of Monetary Economics 13 pp 31 – 39. 204. Engel Ch M, Frankel J A 1984b Do asset demand functions optimize over the mean and variance of the real returns? A sixcurrency test Journal of International Economics 17. 205. Engel Ch M, Hamilton J D 1990 Long swings in the dollar: Are they in the data and do markets know it? American Economic Review 80 pp 689 – 713. 206. Engel Ch M 1992 Can the Markov switching model forecast exchange rates? NBER Working Paper no 4210 NBER USA. 207. Engel Ch M 1995 The forward discount anomaly and the risk premium: A survey of recent evidence Technical Report 5312 National Bureau of Economic Research USA. 208. Engel Ch M 1996 The forward discount anomaly and the risk premium: A survey of recent evidence Journal of Empirical Finance 3 (2) pp 123 – 191. 209. Engel Ch M 1999 On the foreign exchange risk premium in stickyprice general equilibrium models in International finance and financial crises: Essays in honor of Robert P. Flood Isard P, Razin A, Rose A (editors) IMF and Kluwer The Netherlands. 210. Devereux M, Engel Ch M 1999 The optimal choice of exchangerate regime: Price setting rules and internationalized production NBER Working Paper 6992 NBER USA. 211. Devereux M B, Engel Ch M 2002 Exchange rate passthrough, exchange rate volatility, and exchange rate disconnect Journal of Monetary Economics 49 pp 913 – 940. 212. Devereux M B, Shi S 2005 Vehicle currency Working Paper University of British Columbia Vancouver Canada http://www.econ.ubc.ca/devereux/vc2.pdf . 213. Engel Ch M, West K (May) 2004a Accounting for exchange rate variability in present value models when the discount factor is near one American Economic Review 94 pp 118 – 125. 214. Engel Ch M, West K (August) 2004b, 2005 Exchange rates and fundamentals Working Paper 10723 NBER USA, Journal of Political Economy 113 pp 485 – 517. 215. Engel Ch M, West K D 2006 Taylor rules and the Deutschmark  Dollar real exchange rate Journal of Money, Credit, and Banking 38 (5) pp 1175 – 1194. 216. Engel Ch M, Mark N, West K D 2007 Exchange rate models are not as bad as you think NBER Working Paper NBER USA. 217. Garner C K, Shapiro A C 1984 A practical method of assessing foreign exchange risk Midland Corporate Finance Journal pp 6 – 17. 218. Loopesko B 1984 Relationships among exchange rates, intervention, and interest rates: An empirical investigation Journal of International Money and Finance 3 pp 257 – 277. 219. Roll R 1984 A simple implicit measure of the effective bid  ask spread in an efficient market The Journal of Finance 39 pp 1127 – 1139. 220. French K, Roll R 1986 Stock return variances: The arrival of information and the reaction of traders Journal of Financial Economics 17 pp 5 – 26. 221. Roll R 1988 R2 Journal of Finance 43 pp 541 – 566. 222. Urich T, Watchel P 1984 The effects of inflation and money supply announcements on interest rates Journal of Finance 39 pp 1177 – 1188. 223. White H, Domowitz I 1984 Nonlinear regression with dependent observations Econometrica 52 (1) pp 143 – 161. 224. BahmaniOskooee M, Das S 1985 Transaction costs and the interest parity theorem Journal of Political Economy 93 pp 793 – 799. 225. Cohen K, Conroy R, Maier S 1985 Order flow and the quality of the market in Market making and the changing structure of the securities industry Amihud Y, Ho T, Schwartz R (editors) Lexington Massachusetts USA. 226. Glosten L R, Milgrom P (March) 1985 Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents Journal of Financial Economics 14 pp 71 – 100. 227. Glosten L R, Harris L 1988 Estimating the components of the bid  ask spread Journal of Financial Economics 21 pp 123 – 142. 228. Glosten L R 1989 Insider trading, liquidity, and the role of the monopolist specialist Journal of Business 62 (2) pp 211 – 235. 229. Glosten L R 1994 Is the electronic open limit order book inevitable? Journal of Finance 49 pp 1127 – 1162. 230. Hakkio C, Pearce D 1985 The reaction of exchange rates to economic news Economic Inquiry 23 pp 621 – 635. 231. Hardouvelis G A 1985 Exchange rates, interest rates, and moneystock announcements: A Theoretical exposition Journal of International Money and Finance 4 pp 443 – 454. 232. Jones R, Kenen P (editors) 1985 Handbook of international economics NorthHolland Publishing Company Amsterdam The Netherlands. 233. Kearney C, Macdonald R 1985 Intervention and sterilization under floating exchange rates: The UK 19731983 European Economic Review 30. 234. Kyle A 1985 Continuous auctions and insider trading Econometrica 53 pp 1315 – 1335. 235. Kyle A 1989 Informed speculation with imperfect competition Review of Economic Studies 56 pp 317 – 356. 236. Kyle A, Xiong W 2001 Contagion as a wealth effect Typescript Duke University North Carolina USA. 237. Levich R M 1985 Empirical studies of exchange rates: Price behaviour, rate determination and market efficiency in Handbook of international economics Jones R W, Kenen P B (editors) vol 2 NorthHolland Publishing Company Amsterdam The Netherlands. 238. McInish T H, Wood R A 1985 An analysis of transactions data for the Toronto Stock Exchange The Journal of Banking and Finance 14 pp 441 – 458. 239. Dominguez K M 1986 Are foreign exchange forecasts rational? New evidence from survey data Economic Letters 21 pp 277 – 281. 240. Dominguez K M 1990 Market responses to coordinated central bank intervention CarnegieRochester Series on Public Policy 32 pp 121 – 163. 241. Dominguez K M 1992 Exchange rate efficiency and the behavior of international asset markets Garland New York USA. 242. Dominguez K M 1993 Does central bank intervention increase the volatility of foreign exchange rates? Technical Report 4532 National Bureau of Economic Research Cambridge MA USA. 243. Dominguez K M, Frankel J 1993a Does foreignexchange intervention matter? The portfolio effect American Economic Review 83 (5) pp 1356 – 1369. 244. Dominguez K M, Frankel J 1993b Does foreignexchange intervention work? Institute for International Economics Washington DC USA. 245. Dominguez K M, Frankel J A 1993c Foreign exchange intervention: An empirical assessment in On exchange rates Frankel J A (editor) MIT Press Cambridge MA USA. 246. Dominguez K M 1998 Central bank intervention and exchange rate volatility Journal of International Money and Finance 18 pp 161 – 190. 247. Dominguez K M 2003a The market microstructure of central bank intervention Journal of International Economics 59 pp 25 – 45. 248. Dominguez K M 2003b Foreign exchange intervention: Did it work in the 1990s? in Dollar overvaluation and the World economy Bergsten C F, Williamson J (editors) Institute for International Economics Washington DC USA. 249. Bollerslev T 1986 Generalized autoregressive conditional heteroskedasticity Journal of Econometrics 21 pp 307 – 328. 250. Baillie R, Bollerslev T 1989 The daily message in exchange rates: A conditional variance tale Journal of Business and Economic Statistics 7 pp 297 – 305. 251. Baillie R, Bollerslev T 1990 Intraday and inter market volatility in foreign exchange rates Review of Economic Studies 58 pp 565 – 585. 252. Bollerslev T 1990 Modeling the coherence in short‐run nominal exchange rates: A multivariate generalized ARCH model Review of Economics and Statistics 72 pp 498 – 595. 253. Bollerslev T, Chou R Y, Jayaraman N, Kroner K F 1990 ARCH modeling in finance: A review of the theory and empirical evidence Journal of Econometrics 52 (1) pp 5 – 60. 254. Bollerslev T, Domowitz I 1991 Price volatility, spread variability and the role of alternative market mechanisms Review of Futures Markets 10 pp 78 – 102. 255. Baillie R T, Bollerslev T 1991 Intra  day and inter  market volatility in foreign exchange rates Review of Economic Studies 58 pp 565 – 585. 256. Bollerslev T, Domowitz I (September) 1993 Trading patterns and prices in the interbank foreign exchange market Journal of Finance 48 (4) pp 1421 – 1443. 257. Bollerslev T, Melvin M 1994 Bid  ask spreads and volatility in the foreign exchange market: An empirical analysis Journal of International Economics 36 pp 355 – 372. 258. Andersen T, Bollerslev T 1994 Intraday seasonality and volatility persistence in foreign exchange and equity markets Working Paper no 186 Department of Finance Northwestern University USA. 259. Bollerslev T, Engle R F, Nelson D B 1995 ARCH models in Handbook of econometrics vol 4 NorthHolland Publishing Company New York USA. 260. Andersen T, Bollerslev T 1998 Deutsche markdollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies Journal of Finance 53 pp 219 – 266. 261. Bollerslev T, Cai J, Song F 2000 Intraday periodicity, longmemory volatility, and macroeconomic announcement effects in the US treasury bond market Journal of Empirical Finance 7 pp 37 – 55. 262. Andersen T G, Bollerslev T, Diebold F X, Labys P 2000 Exchange rate returns standardized by realized volatility are (nearly) Gaussian Multinational Finance Journal 4 pp 159 – 179. 263. Andersen T, Bollerslev T, Diebold F, Vega C (September) 2001, 2003 Micro effects of macro announcements: Realtime price discovery in foreign exchange Typescript Northwestern University USA; American Economic Review 93 pp 38 – 62. 264. Andersen T, Bollerslev T, Diebold F X, Labys P 2001 The distribution of realized exchange rate volatility Journal of the American Statistical Association 96 (453) pp 42 – 55. 265. Andersen T G, Bollerslev T, Diebold F X, Labys P 2003 Modeling and forecasting realized volatility Econometrica 71 pp 579 ‐ 625. 266. Andersen T G, Bollerslev T, Diebold F X 2007 Roughing it up: Including jump components in The measurement, modeling and forecasting of return volatility Review of Economics and Statistics 89 pp 701 – 720. 267. Engle R F 1982 Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation Econometrica 50 pp 987 – 1007. 268. Engle R F, Bollerslev T 1986 Modeling the persistence of conditional variance Econometrics Reviews 5 pp 1 – 50. 269. Engle R F, Granger C 1987 Cointegration and error correction: Representation, estimation and testing Econometrica 55 pp 251 – 276. 270. Engle R F, Rodriguez A P 1989 Tests of international CAPM with time varying covariances Journal Of Applied Econometrics 4. 271. Engle R F, Ito T, Lin WenLing 1990 Meteor showers or heat waves? Heteroskedastic intradaily volatility in the foreign exchange market Econometrica 58 pp 525 – 542. 272. Engle R F, Russell J R 1995 Forecasting transaction rates: The autoregressive conditional duration model Proceedings of the First International Conference on High Frequency Data in Finance (HFDF1) vol 4 Research Institute for Applied Economics Olsen & Associates Zürich Switzerland. 273. Engle R F, Gallo G M 2006 A multiple indicators model for volatility using intra‐daily data Journal of Econometrics 131 pp 3 – 27. 274. Evans G 1986 A test for speculative bubbles in the sterlingdollar exchange rate American Economic Review 76 pp 621 – 636. 275. Flood E Jr, Lessard D R 1986 On the measurement of operating exposure to exchange rates: A conceptual approach Financial Management 15 pp 25 – 37. 276. Grammatikos T, Saunders A, Swary I 1986 Returns and risks of US Bank foreign currency activities Journal of Finance 41 (3) pp 671 – 682. 277. Harris L 1986 A transaction data survey of weekly and intraday patterns in stock returns Journal of Financial Economics 16 pp 99 – 117. 278. Harris L 1990 Statistical properties of the roll serial covariance bid/ask spread estimator Journal of Finance 45 pp 579 – 590. 279. Hart O D, Kreps D M 1986 Price destabilizing speculation Journal of Political Economy 94 pp 927 – 952. 280. Lyons R K 1986 Tests of the foreign exchange risk premium using the expected second moments implied by option pricing International Finance Discussion Papers 290 Board of Governors of the Federal Reserve System USA. 281. Lyons R K (March) 1988 Tests of the foreign exchange risk premium using the expected second moments implied by option pricing Journal of International Money and Finance Elsevier 7 (1) pp 91 – 108. 282. Lyons R K (November) 1990 Whence exchange rate overshooting: Money stock or flow? Journal of International Economics Elsevier 29 (3  4) pp 369 – 384. 283. Lyons R K 1991 Private beliefs and information externalities in the foreign exchange market NBER Working Papers 3889 National Bureau of Economic Research Inc. 284. Lyons R K (January) 1992 Floating exchange rates in Peru, 19501954 Journal of Development Economics Elsevier 38 (1) pp 99 – 118. 285. Lyons R 1993a Information intermediation in the microstructure of the foreign exchange market NBER Working Paper #3889 Berkeley Business School USA. 286. Lyons R 1993b Tests of microstructural hypothesis in the foreign exchange market NBER Working Paper #4471 Berkeley Business School USA. 287. Lyons R K 1993c Optimal transparency in a dealership market with an application to foreign exchange NBER Working Papers 4467 National Bureau of Economic Research Inc. 288. Baldwin R E, Lyons R K (January) 1994 Exchange rate hysteresis? Large versus small policy misalignments European Economic Review Elsevier 38 (1) pp 1 – 22. 289. Lyons R 1994 Foreign exchange volume: Sound and fury signifying nothing? Berkeley Business School USA. 290. Lyons R K 1995 Tests of microstructural hypotheses in the foreign exchange market Journal of Financial Economics Elsevier 39 (2  3) pp 321 – 351. 291. Lyons R K, Rose A K (September) 1995 Explaining forward exchange bias . . . intraday Journal of Finance American Finance Association 50 (4) pp 1321 – 1329. 292. Lyons R K 1996a Foreign exchange volume: Sound and fury signifying nothing? in The microstructure of foreign exchange markets National Bureau of Economic Research Inc pp 183 – 208. 293. Lyons R K (July) 1996b Optimal transparency in a dealer market with an application to foreign exchange Journal of Financial Intermediation Elsevier 5 (3) pp 225 – 254. 294. Lyons R K 1997a Explaining trading volume in foreign exchange: Lessons from Tokyo FRBSF Economic Letter Federal Reserve Bank of San Francisco issue December 26. 295. Lyons R K (May) 1997b A simultaneous trade model of the foreign exchange hot potato Journal of International Economics Elsevier 42 (3  4) pp 275 – 298. 296. Lyons R K 1997c Profits and position control: A week of FX dealing Research Program in Finance Working Papers RPF273 University of California at Berkeley. 297. Lyons R K (February) 1998a Profits and position control: A week of FX dealing Journal of International Money and Finance Elsevier 17 (1) pp 97 – 115. 298. Lyons R K (December) 1998b Introduction to the international market microstructure issue Journal of International Financial Markets, Institutions and Money Elsevier 8 (3  4) pp 219 – 223. 299. Lyons R K (Summer) 2001 New perspective on FX markets: Orderflow analysis International Finance Wiley Blackwell 4 (2) pp 303 – 320. 300. Fan M, Lyons R (July) 2001 Customerdealer trading in the foreign exchange market Typescript UC Berkeley USA. 301. Killeen W, Lyons R, Moore M (September) 2001 Fixed versus flexible: Lessons from EMS order flow NBER Working Paper 8491 NBER USA. 302. Killeen W, Hau H, Moore M 2001 The euro as an international currency: Explaining puzzling first evidence from the foreign exchange markets Journal of International Money and Finance. 303. Lyons R K (October) 2002 Theoretical perspective on euro liquidity Economic Policy CEPR & CES & MSH 17 (35) pp 571 – 597. 304. Lyons R K 2002 Foreign exchange: Macro puzzles, micro tools Economic Review Federal Reserve Bank of San Francisco pp 51 – 69. 305. Lyons R K 2003 Explaining and forecasting exchange rates with order flows Economie Internationale CEPII research center issue 96 pp 107 – 127. 306. Fan M, Lyons R K, 2003, Customer trades and extreme events in foreign exchange in Central banking, monetary theory and practice: Essays in honor of Charles Goodhart Mizen P (editor) vol 2 pp 160 – 179 Edward Elgar Cheltenham UK. 307. Killeen W P, Lyons R K, Moore M J (June) 2006 Fixed versus flexible: Lessons from EMS order flow Journal of International Money and Finance Elsevier 25 (4) pp 551 – 579. 308. Lyons R K (January) 2006 The microstructure approach to exchange rates MIT Press edition 1 vol 1 ISBN 026262205x Cambridge MA USA. 309. O'Hara M, Oldfield G 1986 The microeconomics of market making Journal of Financial and Quantitative Analysis 21 pp 361  376. 310. Burdett K, O’Hara M 1987 Building blocks: An introduction to block trading Journal of Banking and Finance 13 pp 397 – 419. 311. O'Hara M 1995, 1998 Market microstructure theory Blackwell Business Cambridge MA USA, John Wiley and Sons Inc USA. 312. Shleifer A 1986 Do demand for stock slope down? Journal of Finance 41 (3) pp 579 – 590. 313. Shleifer A, Summers L 1990 The noise trader approach to finance Journal of Economic Perspectives 4 (2) pp 19 – 33. 314. Sweeney R 1986 Beating the foreign exchange market The Journal of Finance 41 pp 163 – 182. 315. DeLong B, Shleifer A, Summers L, Waldmann R 1990 Positive feedback investment strategies, and destabilizing rational speculation Journal of Finance 45 pp 379 – 396. 316. Bilson J F, Hsieh D 1987 The profitability of currency speculation International Journal of Forecasting 3 pp 115 – 130. 317. Glassman D 1987 Exchange rate risk and transactions costs: Evidence from bidask spreads Journal of International Money and Finance 6 (4) pp 479 – 490. 318. Gerlach S 1987 Exchange rates: A review essay Journal of Monetary Economics 19 pp 137 –142. 319. Hasbrouck J, Ho T S H 1987 Order arrival, quote behaviour and the return  generating process The Journal of Finance 42 (4) pp 1035 – 1048. 320. Hasbrouck J 1988 Trades, quotes, inventories, and information Journal of Financial Economics 22 pp 229 – 252. 321. Hasbrouck J 1991 Measuring the information content of stock trades Journal of Finance 46 pp 179 – 207. 322. Hasbrouck J, Sofianos G 1993 The trades of market makers: An empirical analysis of NYSE specialists Journal of Finance 48 pp 1565 – 1593. 323. Hasbrouck J, Seppi D 2001 Common factors in prices, order flows, and liquidity Journal of Financial Economics 59 pp 383 – 411. 324. Hodrick R 1987 The empirical evidence on the efficiency of forward and futures foreign exchange markets in Fundamentals of pure and applied economics vol 24 Harwood Academic Publishers New York USA. 325. Ito T, Roley V 1987 News from the US and Japan: Which moves the Yen/Dollar exchange rate? Journal of Monetary Economics 19 pp 255 – 277. 326. Ito T, Roley V V 1990 Intraday Yen/Dollar exchange rate movements: News or noise? Journal of International Financial Markets, Institutions and Money vol 1 no 1. 327. Canova F, Ito T 1991 The time series properties of the risk premium in the Yen/Dollar exchange market Journal of Applied Econometrics 6 pp 125 – 142. 328. Ito T, Engle R F, Lin W‐L 1992 Where does the meteor shower come from? The role of stochastic policy coordination Journal of International Economics 32 pp 221 – 240. 329. Ito T, Lin W 1992 Lunch break and intraday volatility of stock returns: An hourly data analysis of Tokyo and New York stock markets Economics Letters 39 pp 85  90. 330. Ito T, Isard P, Symansky St, Bayoumi T 1996 Exchange rate movements and their impact on trade and investment in the APEC region IMF Occasional Paper no 145 International Monetary Fund. 331. Ito T, Lyons R K, Melvin M T 1998 Is there private information in the FX market? The Tokyo experiment Journal of Finance American Finance Association 53 (3) pp 1111 – 1130. 332. Ito T (April) 2002 Is foreign exchange intervention effective? The Japanese experience in the 1990s NBER Working Paper no 8914 NBER MA USA. 333. Ito T 2005a The exchange rate in the Japanese economy: The past, puzzles, and prospects Japanese Economic Review 56 no 1 pp 1 – 38. 334. Ito T 2005b The Yen and the Japanese economy: 2004 in Dollar adjustment: How far? Against what? Bergsten F, Williamson J (editors) Institute of International Economics Washington DC pp 171 – 196. 335. Ito T, Hashimoto Y 2006 Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system Journal of Japanese and International Economics 20 pp 637 – 664. 336. Mendelson H 1987 Consolidation, fragmentation, and market performance Journal of Financial and Quantitative Analysis 22 pp 189 – 208. 337. Newey W, West K 1987 A simple positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 pp 703 – 708. 338. Rubinstein A, Wolinsky A 1987 Middlemen Quarterly Journal of Economics 102 pp 581 – 593. 339. Taylor M P 1987 Covered interest parity: A highfrequency, highquality data study Economica 54 (216) pp 429 – 438. 340. Taylor M P 1989 Covered interest arbitrage and market turbulence Economic Journal 99 pp 376 – 391. 341. Allen H, Taylor M P 1989 Chartists, noise and fundamentals: A study of the London foreign exchange market Working Paper no 341 Centre for Economic Policy Research London UK. 342. Taylor M P, Allen H 1992 The use of technical analysis in the foreign exchange market Journal of International Money and Finance 11 (3) pp 304 – 314. 343. Taylor M P 1995 The economics of exchange rates Journal of Economic Literature 33 pp 13 – 47. 344. Sarno L, Taylor M P 2000 Official intervention in the foreign exchange market University of Oxford UK. 345. Sarno L, Taylor M P 2001a Official intervention in the foreign exchange market: Is it effective and if so how does it work? Journal of Economic Literature 39 pp 839 – 868. 346. Sarno L, Taylor M P 2001b The microstructure of the foreign exchange market. A selective survey of the literature Princeton Studies in International Economics Series no 89 Princeton University Press Princeton NJ USA. 347. Taylor M P 2005 Official foreign exchange intervention as a coordinating signal to the DollarYen market Pacific Economic Review 10 pp 73 – 82. 348. Sager M, Taylor M P 2005 Order flow and exchange rate movements Typescript University of Warwick UK. 349. Reitz S, Taylor M P 2006 The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis Deutsche Bundesbank Discussion Paper no 08/2006 Germany. 350. Sager M, Taylor M P 2006 Under the microscope: The structure of the foreign exchange market International Journal of Finance and Economics 11 pp 81 – 95. 351. Sager M J, Taylor M P 2008 Commercially available order flow data and exchange rate movements: Caveat emptor Journal of Money, Credit and Banking 40 (4) pp 583 – 625. 352. Schulmeister St 1987 An essay on exchange rate dynamics Research Unit Labor Market and Employment Discussion Paper no 878 Wissenschaftzentrum Berlin fur Sozialforschung Berlin Germany. 353. Melvin M, Taylor M P 2009 The crisis in the foreign exchange market Journal of International Money and Finance 28 (8) pp 1317 – 1330. 354. Newey W, West K A 1987 Simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 pp 703 – 708. 355. Wolff Ch C P 1987 Forward foreign exchange rates, expected spot rates, and premia: A signalextraction approach Journal of Finance 42 (2) pp 395 – 406. 356. Admati A, Pfleiderer P 1988 A theory of intraday patterns: Volume and price variability The Review of Financial Studies 1 pp 3 – 40. 357. Admati A, Pfleiderer P 1989 Divide and conquer: A theory of intraday and day  of  the  week mean effects The Review of Financial Studies 2 (2) pp 189 – 223. 358. Boothe P 1988 Exchange rate risk and the bidask spread Economic Inquiry XXVI pp 485 – 492. 359. Choi J Y, Salandro D, Shastri K 1988 On the estimation of bid  ask spreads: Theory and evidence Journal of Financial Analysis 23 pp 219 – 230. 360. Clinton K 1988 Transactions costs and covered interest arbitrage: Theory and evidence Journal of Political Economy 96 pp 358  370. 361. Goodhart Ch A E 1988 The foreign exchange market: A random walk with a dragging anchor Economica 55 (220) pp 437 – 460. 362. Goodhart Ch A E (October) 1989 “News” and the foreign exchange market Proceedings of Manchester Statistical Society Manchester UK pp 1 – 79. 363. Goodhart Ch A E, Demos A (Winter) 1990 Reuters screen images of the foreign exchange market: The Deutschemark / Dollar spot rate Journal of International Securities Markets 4 pp 333 – 348. 364. Goodhart Ch A E, Curcio R (January) 1991 The clustering of bid / ask pries and spreads in the foreign exchange market Discussion Paper 110 Financial Markets Group London School of Economics and Political Science London UK. 365. Goodhart Ch A E, Demos A 1991a Reuters screen images of the foreign exchange market: The Yen / Dollar and Sterling / Dollar spot market Journal of International Securities Markets 5 Spring pp 35 – 64. 366. Goodhart Ch A E, Demos A (September 2nd) 1991b The Asian surprise in the forex markets Financial Times p 13. 367. Goodhart Ch A E, Figliuoli L 1991 Every minute counts in financial markets Journal of International Money and Finance 10 (1) pp 23 – 52. 368. Goodhart Ch A E 1992 News effects in a highfrequency model of the SterlingDollar exchange rate Journal of Applied Econometrics 7. 369. Goodhart Ch A E, Hall S, Henry S, Pesaran B 1993 News effects in a high frequency model of the SterlingDollar exchange rate Journal of Applied Econometrics 8 pp 1 – 13. 370. Goodhart Ch A E, Hesse T 1993 Central bank forex intervention assessed in continuous time Journal of International Money and Finance 12 pp 368 – 389. 371. Goodhart Ch A E, Ito T, Payne R 1995, 1996 One day in June, 1993: A study of the working of Reuters 20002 electronic foreign exchange trading system National Bureau of Economic Research Cambridge MA USA pp 1 – 133, in The microstructure of foreign exchange markets Frankel J, Galli G, Giovannini A (editors) University of Chicago Press Chicago IL USA pp 107 – 179. 372. Goodhart Ch A E, O'Hara M 1995 High frequency data in financial markets: Issues and applications Introductory Lecture Proceedings of the First International Conference on High Frequency Data in Finance (HFDF1) Research Institute for Applied Economics Olsen & Associates Zürich Switzerland. 373. Goodhart Ch A E, Payne R G 1996 Microstructural dynamics in a foreign exchange electronic broking system Journal of International Money and Finance 15 (6) pp 829 – 852. 374. Goodhart Ch A E, O’Hara M 1997 High frequency data in financial markets: Issues and applications’ Journal of Empirical Finance 4 pp 73 – 114. 375. Goodhart Ch A E, Love R, Payne R, Rime D 2002 Analysis of spreads in the Dollar/Euro and Deutschemark/Dollar foreign exchange markets Economic Policy 17 (35) pp 537 – 552. 376. Hardouvelis G 1988 Economic news, exchange rates, and interest rates Journal of International Money and Finance 7 pp 23 – 25. 377. Lewis K 1988 Testing the portfolio balance model: A multilateral approach Journal of International Economics 7 pp 273 – 288. 378. Lewis K 1995 Puzzles in international financial markets in Handbook of international economics Grossman G, Rogoff K (editors) vol 3 North Holland Publishing Company Amsterdam The Netherlands. 379. Baldwin R, Krugman P 1989 Persistent trade effects of large exchange rate shocks The Quarterly Journal of Economics 104 (4) pp 635 – 654. 380. Baxter M, Stockman A 1989 Business cycles and the exchange rate regime: Some international evidence Journal of Monetary Economics 23 pp 377 – 400. 381. Dooley M, Lizondo S, Mathieson D 1989 The currency composition of foreign exchange reserves IMF Staff Papers 36 no 2 pp 385 – 434. 382. Giovannini A 1989 How do fixed exchange rate regimes work? Evidence from the gold standard, Bretton Woods and the EMS in Blueprints for exchange rate management Miller M, Eichengreen B, Portes R (editors) Academic New York USA. 383. Golub S 1989 Foreign currency government debt, asset markets, and the balance of payments Journal of International Money and Finance 8 pp 285 – 294. 384. Humpage O 1989 On the effectiveness of exchange market intervention Federal Reserve Bank of Cleveland USA. 385. Leach C, Madhavan 1989 Price experimentation and market structure Working Paper Wharton School University of Pennsylvania USA. 386. Leahy M 1989 The profitability of US intervention Technical Report 343 Board of Governors Federal Reserve Bank Washington DC USA. 387. Miller M, Eichengreen B, Portes R (editors) 1989 Blueprints for exchange rate management Academic New York USA. 388. Van Hagen J 1989 Monetary targeting with exchange rate constraints: The Bundesbank in the 1980s Federal Reserve Bank of St Louis USA. 389. Allen H L, Taylor M P 1990 Charts, noise and fundamentals in the London foreign exchange market Economic Journal 100 (Supplement) pp 49 – 59. 390. Allen H L, Karjalainen R 1999 Using genetic algorithms to find technical trading rules Journal of Financial Economics 51 pp 245 – 271. 391. Courakis A, Taylor M P (editors) 1990 Private behavior and government policy in interdependent economies Clarendon Oxford UK. 392. Diebold F X, Nason J 1990 Nonparametric exchange rate prediction? Journal of International Economics 28 pp 315 – 332. 393. Flood R, Hodrick R 1990 On testing for speculative bubbles Journal of Economic Perspectives 4 pp 85 – 101. 394. Flood R, Rose A 1995 Fixing exchange rates: A virtual quest for fundamentals Journal of Monetary Economics 36 pp 3 – 37. 395. Flood R, Taylor M 1996 Exchange rate economics: What’s wrong with the conventional macro approach? in The microstructure of foreign exchange markets Frankel J, Galli G, Giovannini A (editors) The University of Chicago Press Chicago USA pp 261 – 294. 396. Flood R, Marion N 2001 Holding international reserves in an era of high capital mobility in Brookings Trade Forum 2001 Collins S, Rodrik D (editors) Brookings Institution Press Washington DC USA. 397. Foster D, Viswanathan S 1990 A theory of interday variations in volumes variances, and trading costs in securities markets Review of Financial Studies 3 pp 593 – 624. 398. Foster D, Viswanathan S 1993 Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models Journal of Finance 48 187 – 211. 399. Holthausen R W, Leftwich R W, Mayers D 1990 Largeblock transactions, the speed of response, and temporary and permanent stockprice effects Journal of Financial Economics 26 (1) pp 71 – 95. 400. De Long J B, Shleifer A, Summers L H, Waldmann R J 1990 Noise trader risk in financial markets Journal of Political Economy 98 (4) pp 703 – 738. 401. Domowitz I (June) 1990 The mechanics of automated trade execution systems Journal of Financial Intermediation 1 pp 167 – 194. 402. Domowitz I 1993 A taxonomy of automated trade execution systems Journal of International Money and Finance 12 (6) pp 607 – 631. 403. Domowitz I, Steil B (September) 1999 Automation, trading costs and the structure of the securities trading industry BrookingsWharton Papers on Financial Services pp 33 – 92. 404. Johansen S, Juselius K 1990 Maximum likelihood estimation and inference on cointegration with applications to the demand for money Oxford Bulletin of Economics and Statistics 52 (2) pp 169 – 210. 405. Johansen S 1991 Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models Econometrica 59 (6) pp 1551 – 1580. 406. Johansen S 1992 Cointegration in partial systems and the efficiency of single equation analysis Journal of Econometrics 52 pp 389 – 402. 407. Jorion P 1990 The exchangerate exposure of UnitedStates multinationals Journal of Business 63 pp 331 – 345. 408. Jorion P 1991 The pricing of exchange rate risk in the stock market Journal of Financial and Quantitative Analysis 26 (3) pp 363 – 376. 409. Jorion P 1996 Risk and turnover in the foreign exchange market in The microstructure of foreign exchange markets Frankel J A, Galli G, Giovannini A (editors) University of Chicago Press Chicago USA pp 19 – 37. 410. Lo A W, MacKinley A C 1990 An econometric analysis of nonsynchronous trading Journal of Econometrics 45 pp 181 – 211. 411. Melino A, Turnbull S M 1990 Pricing foreign currency options with stochastic volatility Journal of Econometrics 45 pp 239 – 265. 412. Melino A, Turnbull S M 1995 Misspecification and the pricing and hedging of longterm foreign currency options Journal of International Money and Finance 14 pp 373 – 393. 413. Mishkin F 1990 What does the term structure tell us about future inflation? Journal of Monetary Economics 25 (1) pp 77 – 95. 414. Müller U A, Dacorogna M M, Olsen R B, Pictet O, Schwarz M, Morgenegg C 1990 Statistical study of foreign exchange rates, empirical evidence of a price scaling law, and intraday analysis Journal of Banking and Finance 14 pp 1189 – 1208. 415. Müller U A, Dacorogna M M, Dave R D, Pictet O V, Olsen R B, Ward J R 1993 Fractals and intrinsic time  A challenge to econometricians Technical Report UAM 19930816 Research Institute for Applied Economics Olsen & Associates Zurich Switzerland. 416. Müller U A, Dacorogna M M, Dave R D, Olsen R B, Pictet O V, von Weizsäcker J E 1995 Volatilities of different time resolutions  Analyzing the dynamics of market components Preprint UAM 19950112 Research institute for Applied economics Olsen & Associates Zurich Switzerland. 417. Roell A 1990 Dual capacity trading and the quality of the market Journal of Financial Intermediation 1 pp 105 – 124. 418. Seppi D 1990 Equilibrium block trading and asymmetric information Journal of Finance 45 pp 73 – 94. 419. Bali T 1991 An empirical comparison of continuous time models of the short term interest rate Journal of Futures Markets 19 (7) pp 777 – 797. 420. Bhattacharya U, Spiegel M 1991 Insiders, outsiders, and market breakdowns Review of Financial Studies 4 pp 255 – 282. 421. Black S 1991 Transaction costs and vehicle currencies Journal of International Money and Finance 10 pp 512  527. 422. Bossaerts P, Hillion P 1991 Market microstructure effects of government intervention in the foreign exchange market Review of Financial Studies 4 pp 513 – 541. 423. Burnham J B 1991 Current structure and recent developments in foreign exchange markets in Recent developments in international banking and finance Khonry S J (editor) Elsevier Science Publishing North Holland Publishing Company pp 123 – 163. 424. Campbell J, LaMaster S, Smith V, V 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/59770 
Available Versions of this Item
 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets. (deposited 09. Nov 2014 08:18) [Currently Displayed]