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The Foreign Exchange Quoting Activity as an Informative Signal

Introduction

The Quoting Activity Signal

Data and Descriptive Statistics

Models and Results

Results

Conclusion

Appendix

Table

Figure

References

Walid Ben Omrane and Andréas Heinen:

The Foreign Exchange Quoting Activity as an Informative Signal

Keywords: Currency Market; Foreign Exchange, Market Microstructure, Time Series, Count Data

We investigate the informative property of quoting activity, measured by the frequency of price revisions, in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model, designed for time series of count data.

By Dr Walid Ben Omrane and Andréas Heinen

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