Bibliography of Microstructure of Foreign Exchange Markets∗ Dagfinn Rime† Version 1 August 10, 2009 Abstract This file provides a bibliography of the literature on the Microstructure of Foreign Exchange Markets. It includes clickable links to some of the working papers, and also clickable url or doi-links1 to most of the published papers. I will add more annotations over time. The BibTEX database used for this file is available from my homepage. The references are organized in three sections: 1) Journal papers; 2) Working papers; and 3) Books, book-chapters, PhD dissertations, etc. 1 Journal papers [1] Akram, Q. Farooq, Dagfinn Rime, and Lucio Sarno. “Arbitrage in the for- eign exchange market: Turning on the microscope”. Journal of International Economics, 76:237–253, 2008. doi:10.1016/j.jinteco.2008.07.004. Annotation: Data: D2000-2 [2] Akram, Q. Farooq, Dagfinn Rime, and Lucio Sarno. “Does the law of one price hold in international financial markets? evidence from tick data”. Journal of Banking and Finance, 33(10):1741–1754, 2009. doi:10.1016/j.jbankfin.2008.10.012. Annotation: Data: D2000-2 ∗Please email me paper-details, including links to paper (either doi or url), if you miss a paper on the list, yours or others. The links should preferably be stable links, e.g., links from IDEAS, SSRN, NBER, CEPR, and other institutions. †Norges Bank, Research department, P.O.Box 1179 Sentrum, N-0107 Oslo, Norway. Email: dagfi[email protected]. Homepage: www.norges-bank.no/research/rime/. 1doi, short for Document Object Identifier, is a system for identifying scientific work in the digital environment, and is supposed to be more stable than urls. Most publishers identify their journal- articles with doi’s. Any doi can be resolved into a url by entering it at http://dx.doi.org. See http://doi.org for more information. The doi of a paper can be found by making a search at http://www.crossref.org/guestquery/. 1 [3] Allen, Helen L. and Mark P. Taylor. “Charts, noise and fundamentals in the foreign exchange market”. Economic Journal, 100(400):49–59, 1990. doi:10.2307/2234183. Annotation: Questionnaire survey. See also Taylor and Allen, 1992. [4] Almeida, Alvaro, Charles Goodhart, and Richard Payne. “The effects of macroe- conomic news on high frequency exchange rate behavior”. Journal of Financial and Quantitative Analysis, 33(3):383–408, 1998. doi:10.2307/2331101. Annotation: Data: High frequency indicative quotes [5] Ammer, John and Allan D. Brunner. “Are banks market timers or market makers? explaining foreign exchange trading profits”. Journal of International Financial Markets, Institutions and Money, 7(1):43–60, 1997. doi:10.1016/S1042- 4431(97)00010-3. [6] Andersen, Torben, Tim Bollerslev, Francis X. Diebold, and Clara Vega. “Real-time price discovery in global stock, bond and foreign ex- change markets”. Journal of International Economics, 73(2):251–277, 2007. doi:10.1016/j.jinteco.2007.02.004. [7] Andersen, Torben G. and Tim Bollerslev. “Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomics announcements and longer run dependencies”. Journal of Finance, 53(1):219–265, 1998. doi:10.1111/0022- 1082.85732. Annotation: Data: High frequency indicative quotes [8] Andersen, Torben G., Tim Bollerslev, and Ashish Das. “Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns”. Journal of Finance, 56(1):305–327, 2001. doi:10.1111/0022-1082.00326. Annotation: On the Tokyo trading restrictions. Updated version of “Testing for Microstructure Effects in Intraday Volatility: A Reassess- ment of the Tokyo FX Experiment”. [9] Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega. “Micro effects of macro announcements: Real-time price discov- ery in foreign exchange”. American Economic Review, 93(1):38–62, 2003. doi:10.1257/000282803321455151. [10] Austin, Mark P., Graham Bates, Michael A. H. Dempster, Vasco Leemans, and Stacy N. Williams. “Adaptive systems for foreign exchange trading”. Quantita- tive Finance, 4(4):37–45, 2004. doi:10.1080/14697680400008593. [11] Bacchetta, Philippe and Eric van Wincoop. “A scapegoat model of exchange- rate fluctuations”. American Economic Review Papers and Proceedings, 94(2):114– 118, 2004. doi:10.1257/0002828041301849. 2 [12] Bacchetta, Philippe and Eric van Wincoop. “Can information heterogeneity explain the exchange rate determination puzzle?” American Economic Review, 96(3):552–576, 2006. doi:10.1257/aer.96.3.552. Annotation: Presented at SIFR-workshop on FX microstructure 03. [13] Baillie, Richard T. and Tim Bollerslev. “The message in daily exchange rates: A conditional-variance tale”. Journal of Business and Economic Statistics, 7(3):297– 305, 1989. doi:10.2307/1391527. [14] Baillie, Richard T. and Tim Bollerslev. “Intra-day and inter-market volatil- ity in foreign exchange rates”. Review of Economic Studies, 58(3):565–585, 1991. URL http://links.jstor.org/sici?sici=0034-6527%28199105%2958% 3A3%3C565%3AIAIVIF%3E2.0.CO%3B2-H. [15] Beine, Michel and Christelle Lecourt. “Reported and secret interventions in the foreign exchange markets”. Finance Research Letters, 1(4):215 – 225, 2004. doi:10.1016/j.frl.2004.08.002. [16] Berger, David W., Alain P. Chaboud, Sergey V. Chernenko, Edward Howorka, and Jonathan H. Wright. “Order flow and exchange rate dynamics in Electronic Brokerage System data”. Journal of International Economics, 75(1):93–109, 2008. doi:10.1016/j.jinteco.2007.10.004. Annotation: Data: EBS (Board data set). Presented at the 1st Annual CB Workshop (BI/NB 05). [17] Berger, David W., Alain P. Chaboud, and E. Hjalmarsson. “What drives volatil- ity persistence in the foreign exchnage markets?” Journal of Financial Economics, 2009. doi:10.1016/j.jfineco.2008.10.006. Forthcoming. Annotation: Data: EBS (Board data set). Presented at 3rd Annual CB Workshop (MNB 07). [18] Bessembinder, Hendrik. “Bid-ask spreads in the interbank foreign exchange markets”. Journal of Financial Economics, 35(3):317–348, 1994. doi:10.1016/0304- 405X(94)90036-1. [19] Bjønnes, Geir H. and Dagfinn Rime. “Dealer behavior and trading systems in foreign exchange markets”. Journal of Financial Economics, 75(3):571–605, 2005. doi:10.1016/j.jfineco.2004.08.001. Annotation: Data: D2000-1,D2000-2 and EBS (Bjonnes-Rime deal- ers, all trades, inventories etc.) [20] Bjønnes, Geir H., Dagfinn Rime, and Haakon O. Aa. Solheim. “Liquidity pro- vision in the overnight foreign exchange market”. Journal of International Money and Finance, 24(2):177–198, 2005. doi:10.1016/j.jimonfin.2004.12.003. Annotation: Data: Sveriges Riksbank data set. Presented at SIFR- workshop in FX microstructure, 03. 3 [21] Black, Stanley W. “Transactions costs and vehicle currencies”. Journal of Interna- tional Money and Finance, 10(4):512–526, 1991. doi:10.1016/0261-5606(91)90003- 3. [22] Bollerslev, Tim and Ian Domowitz. “Trading patterns and prices in the in- terbank foreign exchange market”. Journal of Finance, 48(4):1421–1443, 1993. doi:10.2307/2329044. Annotation: Data: High frequency indicative quotes [23] Bollerslev, Tim and Michael Melvin. “Bid-ask spreads and volatility in the for- eign exchange market: An empirical analysis”. Journal of International Economics, 36:355–372, 1994. doi:10.1016/0022-1996(94)90008-6. Annotation: Data: High frequency indicative quotes [24] Boyer, M. Martin and Simon van Norden. “Exchange rates and or- der flow in the long run”. Finance Research Letters, 3(4):235–243, 2006. doi:10.1016/j.frl.2006.06.002. Annotation: Data: D2000-1 (Evans-Lyons JIMF 2002 data set) [25] Breedon, Francis and Paolo Vitale. “An empirical study of liquidity and infor- mation effects of order flow on exchange rates”. Journal of International Money and Finance, 2009. doi:10.1016/j.jimonfin.2009.07.001. Forthcoming. [26] Brzeszczynski, Janusz and Michael Melvin. “Explaining trading volume in the euro”. International Journal of Finance and Economics, 11(1):25–34, 2006. doi:10.1002/ijfe.289. [27] Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo. “The returns to cur- rency speculation in emerging markets”. American Economic Review Papers and Proceedings, 97(2):333–338, 2007. doi:10.1257/aer.97.2.333. [28] Burnside, Craig, Martin S. Eichenbaum, and Sergio Rebelo. “Understanding the forward premium puzzle: A microstructure approach”. American Economic Journal: Macroeconomics, 1(2):127–154, 2009. doi:10.1257/mac.1.2.127. [29] Cabrera, Juan, Tao Wang, and Jian Yang. “Do futures lead price discovery in electronic foreign exchange markets?” Journal of Futures Markets, 29(2):137–156, 2009. doi:10.1002/fut.20352. [30] Cai, Fang, Edward Howorka, and Jon Wongswan. “Informational linkages across trading regions: Evidence from foreign exchange mar- kets”. Journal of International Money and Finance, 27(8):1215–1243, 2008. doi:10.1016/j.jimonfin.2007.08.001. Annotation: Data: EBS (Board data set) [31] Cai, Fang, Edward Howorka, and Jon Wongswan. “Transmission of volatility and trading activity in the foreign exchange market”. Journal of International Money and Finance, 2009. URL http://www.federalreserve.gov/pubs/ifdp/ 2006/863/default.htm. Forthcoming. 4 Annotation: Data: EBS (Board data set) [32] Cai, Jun, Yan-Leung Cheung, Raymond S. K. Lee, and Michael Melvin. “‘Once- in-a-generation’ yen volatility in 1998: Fundamentals, intervention, and or- der flow”. Journal of International Money and Finance, 20(3):327–347, 2001. doi:10.1016/S0261-5606(00)00056-5. [33] Cao, H. Henry, Martin D.D. Evans, and Richard K. Lyons. “Inventory informa- tion”. Journal of Business, 79(1):325–363, 2006. doi:10.1086/497413. Annotation: Data: D2000-1 (Evans data set) [34] Carlson, John A. and Melody Lo. “One minute in the life of the DM/US$: Public news in an electronic market”. Journal of International Money and Finance, 25(7):1090–1102, 2006. doi:10.1016/j.jimonfin.2006.08.005.