Microstructure of the yen/dollar foreign exchange market
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Microstructure of the yen/dollar foreign exchange market patterns of intra-day activity in the electronic broking system by Takatoshi ItЕЌ

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

Subjects:

Places:

  • Japan.,
  • United States.,
  • Great Britain.

Subjects:

  • Foreign exchange market -- Japan.,
  • Foreign exchange market -- United States.,
  • Foreign exchange market -- Great Britain.

Book details:

Edition Notes

StatementTakatoshi Ito, Yuko Hashi.
SeriesNBER working paper series ;, working paper 10856, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10856.
ContributionsHashimoto, Yuko., National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3475700M
LC Control Number2005615095

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Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System Takatoshi Ito and Yuko Hashimoto NBER Working Paper No. October JEL No. F31, F33, G15 ABSTRACT This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using. Downloadable! This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. In t he foreign exchange market in T okyo in April had billi on yen of transactions, of which bil lion yen was i n th e interbank market, and billion yen was in the. Size of the Market Foreign exchange market is the largest financial market with a daily turnover of over USD 2 trillion. Foreign exchange markets were primarily developed to facilitate settlement of debts arising out of international trade. But these markets have developed .

Get this from a library! Microstructure of the yen/dollar foreign exchange market: patterns of intra-day activity revealed in the electronic broking system. [Takatoshi Itō; Yuko Hashimoto; National Bureau of Economic Research.] -- "This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. / A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange market. Exchange Rates in Developed and Emerging Markets: Practices, Challenges and Economic Implications. Nova Science Publishers, Inc., pp. Author: Hiroya Akiba, Yoshihiro Kitamura, Shinichi Matsuda, Ayano Sato. Akiba et al. () applied a microstructural model to study the impact of the Bank of Japan intervention in the yen/dollar foreign exchange market. The empirical results revealed a significant. Market microstructure studies the process by which investors’ latent demands are ultimately translated into prices and volumes. This paper reviews the theoretical, empirical and experimental literature on market microstructure relating to: (1) price formation, including the dynamic process by which prices come to impound information, (2) market structure and design, including the relation Cited by:

Foreign exchange microstructure research, or the study of the currency trading process, is primarily motivated by the need to understand exchange‐rate dynamics at short horizons. Exchange rates are central to almost all international economic interactions – everything from international trade to speculation to exchange‐rate on: Waltham. Jorion P () Risk and Turnover in the Foreign Exchange Market. In: Frankel JA, Galli G, Giovaninni A (eds) The Microstructure of Foreign Exchange Markets. . Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market. , Tokyo insiders and the informational efficiency of the yen/dollar exchange rate, International Journal of Finance & Economics, 10, 2, (). Downloadable (with restrictions)! This study investigates the microeffects of macronews using customer price-contingent orders (i.e. stop-loss and take-profit orders) data from a large foreign exchange dealing bank in the pound/dollar market. Results reveal that price-contingent order placement intensifies h prior to the news events. I examine the link between this surge in order placement.