Informativeness of trade size in foreign exchange markets

DOI10.1016/j.econlet.2016.11.010zbMath1396.91457OpenAlexW2553503298MaRDI QIDQ1672744

Deniz Erdemlioglu, Nikola Gradojevic, Ramazan Gençay

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.11.010

zbMATH Keywords

volumevolatilitymarket microstructureinformed tradingnoise tradingforeign exchange marketstrade size

Mathematics Subject Classification ID

Trade models (91B60)

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