Blar i Norges Banks publikasjonsserier / Norges Bank publication series på emneord "foreign exchange microstructure"
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Arbitrage in the Foreign Exchange Market: Turning on the Microscope
(Working Papers;12/2005, Working paper, 2005)This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered ... -
Does the Law of One Price Hold in International Financial Markets? Evidence from Tick Data
(Working Papers;19/2008, Working paper, 2008)This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ...