Now showing items 1-2 of 2

  • Macroeconomic News and LOB in Foreign Exchange ECN Market 

    Yusi, Tao
    We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, ...
  • Macroeconomic News Effects and Foreign Exchange Jumps 

    Wang, Jiahui
    This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, ...