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Paper / 1996SMQ / 150138428429648
Trading volumes and transaction costs in the foreign market - evidence from daily dollar-yen spot data
Hartmann, Philipp
foreign exchange / time seriesResource overview

Trading volumes and transaction costs in the foreign market - evidence from daily dollar-yen spot data

Paper1996

by Hartmann, Philipp

Tags
foreign exchangetime seriestransaction costs

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Suggested foundations for financial time series and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Market Impact

    Connect trading speed and size to execution cost.

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