Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets
The thesis provides a novel contribution to the literature of microstructural theory and discovery models. The main contributions are twofolds. First, we move from price to liquidity discovery and explicitly study the dynamic behavior of a direct measure of liquidity observed from the foreign exchan...
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City University London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572015 |