Foreign exchange market reactions to news : a microstructure analysis of returns, volatility, and order flow from the Reuters D2000-2 electronic trading system
The research in this thesis examines the effect of different kinds of news on high frequency order flow, exchange rate returns and volatility. The first chapter studies the impact of different aspects of central bank interventions (direction, size, frequency, timing), and news about these interventi...
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London School of Economics and Political Science (University of London)
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645686 |