scholarly journals Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression

2017 ◽  
Author(s):  
Zi-Yi Guo
Keyword(s):  
Exchange Rate ◽  
Continuous Time ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
New Evidence

Order Flow and Exchange Rate Dynamics in Brazil

2004 ◽  
Author(s):  
Otavio Ribeiro de Medeiros
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

2005 ◽  
Vol 2005 (830) ◽  
pp. 1-26
Author(s):  
David W. Berger ◽  
◽  
Alain P. Chaboud ◽  
Sergey V. Chernenko ◽  
Edward Howorka ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
System Data

scholarly journals Order Flow and Exchange Rate Dynamics

2017 ◽  
pp. 247-290
Author(s):  
Martin D.D. Evans ◽  
Richard K. Lyons
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics

2011 ◽  
Author(s):  
Viet Hoang Nguyen ◽  
Yongcheol Shin
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
Price Impacts

scholarly journals ORDER FLOW AND EXCHANGE RATE DYNAMICS: AN APPLICATION TO EMERGING MARKETS

2011 ◽  
Vol 17 (3) ◽  
pp. 290-304 ◽  
Author(s):  
Kwabena Duffuor ◽  
Ian W. Marsh ◽  
Kate Phylaktis
Keyword(s):  
Exchange Rate ◽  
Emerging Markets ◽  
Order Flow ◽  
Exchange Rate Dynamics

scholarly journals End-User Order Flow and Exchange Rate Dynamics

2007 ◽  
Author(s):  
Stefan Reitz ◽  
Markus A. Schmidt ◽  
Mark P. Taylor
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
End User ◽  
Exchange Rate Dynamics

scholarly journals Order flow and exchange rate dynamics in electronic brokerage system data

2008 ◽  
Vol 75 (1) ◽  
pp. 93-109 ◽  
Author(s):  
David W. Berger ◽  
Alain P. Chaboud ◽  
Sergey V. Chernenko ◽  
Edward Howorka ◽  
Jonathan H. Wright
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics ◽  
System Data

DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT

2011 ◽  
Vol 14 (06) ◽  
pp. 945-956 ◽  
Author(s):  
LIJUN BO ◽  
YONGJIN WANG ◽  
XUEWEI YANG
Keyword(s):  
Markov Chain ◽  
Exchange Rate ◽  
Diffusion Model ◽  
Continuous Time ◽  
Numerical Results ◽  
Derivative Pricing ◽  
Target Zone ◽  
Exchange Rate Dynamics ◽  
The Exchange Rate ◽  
Pricing Formula

We propose a tractable model for the exchange rate in a target zone with realignment. The target zone exchange rate dynamics is assumed to obey a bounded regular diffusion with two-sided unattainable barriers. The realignment is modeled as a continuous-time two-state Markov chain. Under the stationary setting of the Markov chain, a general pricing formula for the derivative written on the exchange rate is derived in the presence of the realignment risk. The Jacobi diffusion model is studied as an example and numerical results are presented for illustration.

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