Informativeness of trade size in foreign exchange markets
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DOI: 10.1016/j.econlet.2016.11.010
Abstract: This article investigates a trading strategy that relies on private information in an electronic spot foreign exchange market. In a structural microstructure model extended for high-frequency data, our analysis links the informational content of trading… read more here.
Keywords: trade size; foreign exchange; informativeness trade; size foreign ... See more keywords