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dc.contributor.authorYusi, Tao
dc.date.accessioned2015-05-22T15:16:27Z
dc.date.available2015-05-22T15:16:27Z
dc.identifier.urihttp://hdl.handle.net/10464/6552
dc.description.abstractWe 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, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectlimit order booken_US
dc.subjectdepthen_US
dc.subjectspreaden_US
dc.subjectslopeen_US
dc.subjectmacroeconomic newsen_US
dc.titleMacroeconomic News and LOB in Foreign Exchange ECN Marketen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


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