We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin
exchanges and scheduled macroeconomic news announcements affect the volatility of …

A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

Interest in the political and economic consequences of transparency has grown significantly
over the past decade. The literature, however, has been hampered by methodological …

This article reviews, evaluates, and links research that studies foreign exchange volatility
reaction to macro announcements. Scheduled and unscheduled news typically raises …

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 …

Most previous literature focuses on proving market impacts of macro news and price
discovery process of the FX market. In general, the literature is divided into two camps. The …

This paper examines dollar interventions by the G3 since 1989, and the reasons that trader
reactions to these interventions might differ over time and across central banks. Market …

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

We investigate the volatility reaction to macroeconomic news in major currency markets
during the recent global financial crisis. We first present an alternative method for …

This paper examines whether the traditional sets of macro surprises, that most of the
literature considers, are the only sorts of news that can explain exchange-rate movements …