𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the rigid body behavior of foreign exchange markets

✍ Scribed by Lorenzo Matassini


Book ID
108450115
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
145 KB
Volume
308
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Under the microscope: the structure of t
✍ Michael J. Sager; Mark P. Taylor πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 155 KB

## Abstract We provide a detailed, up‐to‐date description of the microstructure of the foreign exchange market and of the behaviour of participant groups. In the light of this, we highlight shortcomings in existing theoretical models of market interaction and present an outline alternative model th

New evidence on the forward unbiasedness
✍ Kleopatra Nikolaou; Lucio Sarno πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 180 KB

A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e

Characterization of foreign exchange mar
✍ Kenta Yamada; Hideki Takayasu; Misako Takayasu πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 238 KB

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empir