Blar i Arbeidsnotater / Working Papers 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. ... -
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 ...