FX Trading and Exchange Rate Dynamics
通过分析外汇交易的信息结构，发现汇率短期波动主要源于做市商交易决策的异质性，而非公共新闻，并利用德国马克/美元数据验证了模型。
I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results: (1) Much of the short‐term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over any horizon.