Informativeness of trade size in foreign exchange markets
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
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
Intermarket sweep order trade size clustering around corporate announcements
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1612029
Abstract: ABSTRACT Investors have different trade size preferences depending on their information advantage. Using intermarket sweep orders (ISOs), we find that investors appear to prefer using small, round lot trades around corporate events with higher announcement… read more here.
Keywords: trade size; sweep order; intermarket sweep; around corporate ... See more keywords