Stephen Sapp

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Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market

Staff Working Paper 2011-8 Ingrid Lo, Stephen Sapp
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.

Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14

A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31

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