Blar i Norges Banks vitenarkiv på forfatter "Sojli, Elvira"
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Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira (Working Papers;2/2007, Working paper, 2007)This paper investigates the empirical relation between order flow and macroeconomic information in the foreign exchange market, and the ability of microstructure models based on order flow to outperform a naive random walk ... -
Identifying Cross-Sided Liquidity Externalities
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;20/2012, Working paper, 2012)We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ... -
Order Flow Analysis of Exchange Rates
Rime, Dagfinn; Sojli, Elvira (Journal article, 2006)Norges Bank recently started to collect new foreign exchange statistics. These statistics provide an overview of which foreign currencies various market participants buy and sell against NOK. Participants’ purchases and ... -
Ordrestrømsanalyse av valutakurser
Rime, Dagfinn; Sojli, Elvira (Journal article, 2006)Artikkelen forklarer teorien som ligger til grunn for å bruke data fra verdipapirhandel i empiriske anvendelser. Det fokuseres på problemstillinger knyttet til valutamarkedet, men teorien har gyldighet også for andre ... -
Sunshine Trading: Flashes of Trading Intent at the Nasdaq
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;17/2011, Working paper, 2011)We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from Nasdaq as a natural experiment to investigate the impact of voluntary disclosure of trading ...