Seminario di Inaki Rodriguez Longarela

ore 12.30 Sala Seminari – I° piano, Palazzo Levi Cases, Via del Santo 33

16.11.2016

Zooming in and out: Examining price discovery in the foreign exchange market

Seminario di Inaki Rodriguez Longarela, Stockholm Business School

The presence of arbitrage in foreign exchange markets and its implications has been the subject of recent research efforts. All these contributions focus on a simple approach whose accuracy may deserved a second look. Endowed with a rich set of high-frequency data from the two major foreign exchange market platforms and novel tools, this paper examines such accuracy and it also attempts to uncover the exchange rates that are the main vehicles of price discovery.