The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market
Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their relatio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2009-04.
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| Subjects: | |
| Online Access: | Get fulltext |