Blar i Norges Banks vitenarkiv på forfatter "Vitale, Paolo"
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A Transaction Data Study of the Forward Bias Puzzle
Breedon, Francis; Rime, Dagfinn; Vitale, Paolo (Working Papers;26/2010, Working paper, 2010)Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a ...