There is a large literature that analyzes time-specific anomalies in equity markets such as
the Monday effect, the January effect and the Halloween effect. This study reports intra-day …

This paper studies competition in price discovery between spot and futures rates for the EUR–
USD and JPY–USD markets around scheduled macroeconomic announcements. Using …

The relationship between trading volume and volatility in foreign exchange markets
continues to be of much interest, especially given the higher than expected volatility of …

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 …

This study shows that the dominance of the overlapping trading hours of London and New
York in the price discovery of the EUR/USD and USD/JPY markets only applies on days with …

In this study, we leverage various price discovery measurements to investigate whether and
how the addition of the Chinese yuan in Special Drawing Right (SDR) affected price …

This paper empirically examines limit order revisions and cancellations which contribute to a
significant portion of the order activity in many order-driven markets. We document that limit …

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 …

This study examines the influence of investor sentiment on trading behavior in crude oil
futures. We find that money manager traders (ie, hedge funds) adopt positive feedback …

We investigate the source of information advantage in inter-dealer FX trading using data on
trades and counter-party identities. In liquid dollar exchange rates, information is …