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  1. Essays on empirical market microstructure and high frequency data
    Author: Bellia, Mario
    Published: 2018

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    A 276778
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Finanzmarkt; Marktmikrostruktur; Elektronisches Handelssystem; Marktliquidität; Börsenkurs; Öffentliche Anleihe; Schätzung; Deutschland; Italien
    Scope: xi, 172, 3 Seiten, Diagramme, 21 cm
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Johann Wolfgang Goethe-Universität Frankfurt am Main, 2018
  2. Foreign exchange order flow as a risk factor
    Author: Burnside, Craig; Cerrato, Mario; Zhang, Zhekai
    Published: October 29, 2018
    Publisher:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan

     

    This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to provide direct measures of buying and selling pressure related to carry trading and momentum strategies. We find that they appear to be good proxies for currency crash risk. Additionally, we show that the association between our order-flow factors and currency returns differs according to the customer segment of the foreign exchange market. In particular, it appears that financial customers are risk takers in the market, while non-financial customers serve as liquidity providers

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: ERID working paper ; number 276
    Economic Research Initiatives at Duke (ERID) Working Paper ; No. 276
    Subjects: Devisenmarkt; Wechselkurs; Währungsrisiko; Risikoprämie; Marktmikrostruktur; Stochastischer Prozess; Ökonometrisches Modell
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. Foreign exchange order flow as a risk factor
    Author: Burnside, Craig; Cerrato, Mario; Zhang, Zhekai
    Published: [2018]
    Publisher:  Adam Smith Business School University of Glasgow], [Glasgow

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 536
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Discussion papers / Adam Smith Business School University of Glasgow] ; 2018, 04
    Subjects: Devisenmarkt; Wechselkurs; Währungsrisiko; Risikoprämie; Marktmikrostruktur; Stochastischer Prozess; Ökonometrisches Modell
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen