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Project: Microstructure of the Hungarian foreign exchange market

project duration
01-JAN-09 – 31-OCT-13
abstract
Based on a unique high-frequency dataset we analyze the microstructure of the Hungarian FX market (processing of news, determinants of jumps, efficiency of central bank communication and components of spreads). A major research question is, whether the less liquid, small markets in open transition economies are qualitatively and quantitatively different from major currency markets.