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By Dr W. B. Omrane and A. Heinen

The Foreign Exchange Quoting Activity as an Informative Signal
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 W. B. Omrane and A. Heinen