FX Academic Papers

Intraday patterns in FX returns and order flow

Prospect Theory: An Analysis of Decision under Risk

 FX strategies in periods of distress

 FX data: Discovery of 12 empirical scaling laws

The market microstructure approach to foreign exchange: Looking back and looking forward

“Large” vs. “small” players: A closer look at the dynamics of speculative attacks

 The Microstructure of Currency Markets

Exchange rate forecasting, order flow and macroeconomic information

Arbitrage in the foreign exchange market: Turning on the microscope

Foreign exchange market structure, players and evolution

Price discovery in currency markets

STOP-LOSS ORDERS AND PRICE CASCADES

MACRO LESSONS FROM MICROSTRUCTURE

 High Frequency Trading and Price Discovery

The Role of HFTs in Order Flow Toxicity and Stock Price Variance, And Predicting Changes in HFTs’ Liquidity Provisions. 

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