Research on foreign exchange market microstructure stresses the importance of order flow,
heterogeneity among agents, and private information as crucial determinants of short-run …

This paper provides evidence that informed traders dominate the response of limit-order
submissions to shocks in a pure limit-order market. In the market we study, informed traders …

Dealers trading in a limit order market must choose both the order aggressiveness and the
quantity for their orders. Since little research has considered how dealers make this trade …

As the recent financial crisis has made clear, the ability to accurately define, measure and
explain financial market liquidity is of great importance to academics and market participants …

We investigate the statistical properties of the EBS order book for the EUR/USD and
USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A …

In this paper, I examine order submissions and cancellations in the Reuters Dealing 3000
Spot Matching System, the main order-driven market for interbank trading of the euro/złoty …

We extend the asymmetric autoregressive conditional duration (AACD) model of Bauwens
and Giot [Asymmetric ACD models: Introducing price information in ACD models, Empir …

In the paper, I generalize the Asymmetric Autoregressive Conditional Duration (AACD)
model proposed by Bauwens and Giot (2003) with respect to the generalized gamma and …

This paper examines the intra-day seasonality of transacted limit and market orders in the
DEM/USD foreign exchange market. Empirical analysis of completed transactions data …

This file provides a bibliography of the literature on the Microstructure of Foreign Exchange
Markets. It includes clickable url-or doi-links 1 to most of the published papers, and even to …