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The Microstructure Approach to Exchange Rates [Paperback]

Richard K Lyons
4.0 out of 5 stars  See all reviews (2 customer reviews)
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Book Description

17 Feb 2006
Historically, the fields of exchange-rate economics and microstructure finance have progressed independently of each other. Recent interaction, however, has given rise to a microstructure approach to exchange rates. This book focuses on the economics of financial information and how microstructure tools help to clarify the types of information most relevant to exchange rates.The microstructure approach views exchange rates from the perspective of the trading room, the place where exchange rates are actually determined. Emphasizing information economics over institutional issues, the approach departs from three unrealistic assumptions common to previous approaches: that all information relevant to exchange rates is publicly available, that all market participants are alike in their goals or in how they view information, and that how trading is organized is inconsequential for exchange rates. The book shows how exchange-rate behavior previously thought to be particularly puzzling can be explained using the microstructure approach. It contains a combination of theoretical and empirical work.

Product details

  • Paperback: 316 pages
  • Publisher: MIT Press; New Ed edition (17 Feb 2006)
  • Language: English
  • ISBN-10: 026262205X
  • ISBN-13: 978-0262622059
  • Product Dimensions: 22 x 16 x 2 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 441,172 in Books (See Top 100 in Books)

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Product Description


"A thought-provoking introduction to the subject." Mark S. Rzepczynski Financial Analysts Journal

About the Author

Richard K. Lyons is Professor of Finance and Economics at the Haas School of Business, the University of California, Berkeley.

Inside This Book (Learn More)
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First Sentence
Ten years ago, a friend of mine who trades spot foreign exchange for a large bank invited me to spend a few days at his side. Read the first page
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1 of 1 people found the following review helpful
4.0 out of 5 stars Understand FX Dealers 20 Aug 2010
By noob
This is a good book to get an understanding of how fx dealers work. Though the maths were over my head, it was easy enough to read the non-equation parts and understand what was said. One caveat - although research is still being done in this area, it appears the adverse selection spread model is incorrect for this market. (See Osler's paper "Price Discovery in Currency Markets".)
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4.0 out of 5 stars Reference Reading 6 Nov 2013
Format:Paperback|Verified Purchase
Very structured and full of data. This helps one understand some of the powers that drive the market. Not for beginners.
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Most Helpful Customer Reviews on (beta) 5.0 out of 5 stars  1 review
5 of 7 people found the following review helpful
5.0 out of 5 stars This one deserves recognition 6 April 2009
By J. Schneider - Published on
Format:Paperback|Verified Purchase
This book changed the way I trade FX and the way I look at markets in general. Though it was above my education level the author wrote concisely and clearly so that I understood the concepts well enough to move forward in my own studies. Wonderful book.
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