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2025-02-06
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Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot for
NBER2006-08-01 更新140
Replication Data for: Order Book Queue Hawkes-Markovian Modeling
Replication Data for: Order Book Queue Hawkes-Markovian Modeling. Manuscript available at https://arxiv.org/abs/2107.09629.
NIAID Data Ecosystem60
Quantifying the High-Frequency Trading "Arms Race"
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely-familiar limit order book d
NBER2021-07-01 更新120
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-va
NBER1998-12-01 更新50
