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- W56125528 abstract "Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these variables into proxies for private information and examine their relationships with bid-ask spreads and return volatility. We use a unique and unusually rich high-frequency intraday dataset from the world’s largest financial market, namely, the electronic inter-dealer spot foreign exchange market. Our analysis takes account of institutional features peculiar to this order-driven market. Our empirical results strongly affirm our theoretical understanding of how these markets work. They also reveal how the structure of the inter-dealer spot FX market affects exchange rate volatility." @default.
- W56125528 created "2016-06-24" @default.
- W56125528 creator A5075916279 @default.
- W56125528 date "2007-10-18" @default.
- W56125528 modified "2023-09-27" @default.
- W56125528 title "Private information, bid-ask spreads and return volatility in the foreign exchange market" @default.
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