Alain Chaboud

Federal Reserve Board - Division of International Finance

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 6,184

SSRN RANKINGS

Top 6,184

in Total Papers Downloads

7,710

SSRN CITATIONS
Rank 6,117

SSRN RANKINGS

Top 6,117

in Total Papers Citations

95

CROSSREF CITATIONS

106

Scholarly Papers (12)

1.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 4,021 (2,560)
Citation 90

Abstract:

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algorithmic trading, volatility, liquidity provision, private information

2.

What Can the Data Tell Us About Carry Trades in Japanese Yen?

FRB International Finance Discussion Paper No. 899
Number of pages: 36 Posted: 13 Aug 2007
Joseph Gagnon and Alain Chaboud
Peterson Institute and Federal Reserve Board - Division of International Finance
Downloads 1,056 (22,696)
Citation 24

Abstract:

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foreign exchange, interest rate parity, hedge fund

3.

The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

Number of pages: 42 Posted: 01 Dec 2004
Federal Reserve Board - Division of International Finance, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 641 (45,618)
Citation 30

Abstract:

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Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility

4.

Foreign Exchange Market Trading Volume and Federal Reserve Intervention

Number of pages: 13 Posted: 04 Oct 1999
Alain Chaboud and Blake LeBaron
Federal Reserve Board - Division of International Finance and Brandeis University - International Business School
Downloads 381 (86,547)
Citation 8

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5.

Trading Activity and Exchange Rates in High-Frequency EBS Data

FRB International Finance Discussion Paper No. 903
Number of pages: 37 Posted: 27 Sep 2007
Federal Reserve Board - Division of International Finance, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 333 (100,943)
Citation 5

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Trading volume, foreign exchange, high-frequency data, news announcements

6.

Uncovered Interest Parity: It Works, But Not for Long

Number of pages: 24 Posted: 24 Apr 2003
Alain Chaboud and Jonathan H. Wright
Federal Reserve Board - Division of International Finance and Johns Hopkins University - Department of Economics
Downloads 329 (102,291)
Citation 17

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uncovered interest parity, high frequency data, exchange rates, risk premia

7.

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

FRB International Finance Discussion Paper No. 830
Number of pages: 35 Posted: 25 Apr 2005
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board - Division of International Finance, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 277 (123,067)
Citation 31

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order flow, foreign exchange, high-frequency data, news announcements

8.

What Drives Volatility Persistence in the Foreign Exchange Market?

FRB International Finance Discussion Paper No. 862
Number of pages: 56 Posted: 07 Jun 2006
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and EBS Group Limited
Downloads 239 (143,091)
Citation 11

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Volatility persistence, news sensitivity, exchange rates, long memory

9.

An Assessment of the Impact of Japanese Foreign Exchange Intervention: 1991-2004

FRB International Finance Discussion Paper No. 824, FRB of Cleveland Working Paper No. 03-09
Number of pages: 41 Posted: 05 Feb 2005 Last Revised: 13 Nov 2007
Alain Chaboud and Owen Humpage
Federal Reserve Board - Division of International Finance and Federal Reserve Bank of Cleveland
Downloads 175 (190,948)
Citation 20

Abstract:

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Foreign intervention, Japan

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

FRB International Finance Discussion Paper No. 905
Number of pages: 54 Posted: 06 Nov 2007
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 92 (312,978)
Citation 2

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Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

BIS Working Paper No. 249
Number of pages: 49 Posted: 16 Apr 2008
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 53 (425,633)
Citation 2

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realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

11.

What makes HFTs tick?

Number of pages: 44 Posted: 25 Jun 2019
Alain Chaboud, Avery Dao and Clara Vega
Federal Reserve Board - Division of International Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Students and Board of Governors of the Federal Reserve System
Downloads 95 (304,193)
Citation 2

Abstract:

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High Frequency Trading, tick size, minimum price variation, market liquidity, price discovery, foreign exchange

12.

The Evolution of Price Discovery in an Electronic Market

FEDS Working Paper No. 2020-051
Number of pages: 41 Posted: 25 Jun 2020
Alain Chaboud, Erik Hjalmarsson and Filip Zikes
Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 18 (590,535)

Abstract:

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High-frequency trading, Limit orders, Price discovery