FX futures invariance

DOI10.1016/J.JECONOM.2025.106165MaRDI QIDQ6854599zbMATH OpenFDO

Authors Torben G. Andersen, Oleg Bondarenko, Eleni Gousgounis, Esen Onur

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106165

zbMATH Keywords

market microstructuretesting for market invariancetick size

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A generalized bivariate mixture model for stock price volatility and trading volume
• A ReMeDI for microstructure noise
• Are trading invariants really invariant? Trading costs matter
• Market Microstructure Invariance: Empirical Hypotheses
• Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
• Statistical Properties of Microstructure Noise
• The high-frequency trading arms race: frequent batch auctions as a market design response
• The Price Variability-Volume Relationship on Speculative Markets

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