The Microstructure of Foreign Exchange Markets PDF Download

Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260232
Category : Business & Economics
Languages : en
Pages : 358

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Book Description
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.

Author: Mark F. Goldberg
Publisher: ASCD
ISBN: 0871205246
Category : Educational leadership
Languages : en
Pages : 146

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Book Description
Ernest Boyer pushed school leaders to close "the gap between the haves and have-nots." Al Shanker led teachers to form a strong union. Deborah Meier created small schools of choice that broke achievement records. Through interviews with these and many other outstanding school leaders, Mark Goldberg has distilled the essence of effective school and district leadership. You'll learn how strong leaders * Form beliefs about school excellence. * Support a strong staff development program. * Broaden the school or district leadership. * Adapt leadership skills to specific school or district needs. * Address the gaps caused by discrimination, racism, and poverty. You'll also find out how to encourage other educators to become leaders and to build teams, work groups, and community support networks. This is an essential guide for anyone who wants to know how to start--and maintain--an innovative educational program that supports high student achievement.

Author: Hau Harald
Publisher: International Monetary Fund
ISBN: 1498303773
Category : Business & Economics
Languages : en
Pages : 45

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Book Description
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.

Author: Anastasios G Malliaris
Publisher: World Scientific
ISBN: 9814566934
Category : Business & Economics
Languages : en
Pages : 844

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Book Description
The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics.

Author: United States. Commodity Exchange Authority
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 84

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Book Description

Author: J. Orlin Grabbe
Publisher:
ISBN: 9780135006122
Category : Business & Economics
Languages : en
Pages : 440

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Book Description
Designed to provide readers with a solid framework for exploring financial markets as markets, this best-selling book dellineates the basic rules of the game in each of the three major international financial markets: foreign exchange, eurocurrencies, and international bonds, and conveys an intuitive feel for market dynamics. KEY TOPICS: Blends theory and institutional accounts. Considers the interbank market in foreign exchange. Explains how to hedge with FX forwards, futures, and options. A new chapter explores aspects of the European Monetary System in two separate discussions: historical background and general features; and the technical details of the Exchange Rate Mechanism. For readers interested in International Financial Markets. The previous edition ISBN is 0-13-500612-0.

Author: Milan Nedeljkovic
Publisher: International Monetary Fund
ISBN: 1475571038
Category : Business & Economics
Languages : en
Pages : 35

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Book Description
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the first two moments of the real/dollar exchange rate. As predicted by theory for the case of negligible convertibility risk, the impact of spot market intervention in our baseline sample is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal.

Author: Abdourahmane Sarr
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 72

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Book Description
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.

Author: John L. Teall
Publisher: Academic Press
ISBN: 0128111178
Category : Business & Economics
Languages : en
Pages : 523

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Book Description
Financial Trading and Investing, Second Edition, delivers the most current information on trading and market microstructure for undergraduate and master's students. Without demanding a background in econometrics, it explores alternative markets and highlights recent regulatory developments, implementations, institutions and debates. New explanations of controversial trading tactics (and blunders), such as high-frequency trading, dark liquidity pools, fat fingers, insider trading, and flash orders emphasize links between the history of financial regulation and events in financial markets. New sections on valuation and hedging techniques, particularly with respect to fixed income and derivatives markets, accompany updated regulatory information. In addition, new case studies and additional exercises are included on a website that has been revised, expanded and updated. Combining theory and application, the book provides the only up-to-date, practical beginner's introduction to today's investment tools and markets. - Concentrates on trading, trading institutions, markets and the institutions that facilitate and regulate trading activities - Introduces foundational topics relating to trading and securities markets, including auctions, market microstructure, the roles of information and inventories, behavioral finance, market efficiency, risk, arbitrage, trading technology, trading regulation and ECNs - Covers market and technology advances and innovations, such as execution algo trading, Designated Market Makers (DMMs), Supplemental Liquidity Providers (SLPs), and the Super Display Book system (SDBK)

Author: Romain Lafarguette
Publisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33

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Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.