Alain Chaboud

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

19

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Top 7,371

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9,083

SSRN CITATIONS
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SSRN RANKINGS

Top 5,855

in Total Papers Citations

119

CROSSREF CITATIONS

106

Scholarly Papers (19)

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 4,191 (3,523)
Citation 97

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 Board of Governors of the Federal Reserve System
Downloads 1,172 (26,826)
Citation 24

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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
Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 671 (57,845)
Citation 30

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

4.

The Foreign Exchange Market

The Research Handbook of Financial Markets, edited by Refet G├╝rkaynak and Jonathan Wright. Edward Elgar. 2022.
Number of pages: 26 Posted: 06 Apr 2022 Last Revised: 19 Aug 2022
Alain Chaboud, Dagfinn Rime and Vladyslav Sushko
Board of Governors of the Federal Reserve System, BI Norwegian Business School and Bank for International Settlements (BIS)
Downloads 404 (107,685)

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Financial markets, Foreign exchange, Market microstructure, Dealer intermediation, Electronic trading, Algorithmic trading

5.

Foreign Exchange Market Trading Volume and Federal Reserve Intervention

Number of pages: 13 Posted: 04 Oct 1999
Alain Chaboud and Blake LeBaron
Board of Governors of the Federal Reserve System and Brandeis University - International Business School
Downloads 401 (108,680)
Citation 8

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6.

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
Board of Governors of the Federal Reserve System, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 349 (126,873)
Citation 5

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

7.

Uncovered Interest Parity: It Works, But Not for Long

Number of pages: 24 Posted: 24 Apr 2003
Alain Chaboud and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 347 (127,678)
Citation 17

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

8.

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, Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 291 (153,729)
Citation 33

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

9.

Central Bank Communication Choices: Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders

Number of pages: 35 Posted: 12 Feb 2021
Hedi Benamar, Alain Chaboud and Clara Vega
Abu Dhabi Investment Authority, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 268 (167,251)

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Monetary policy, public information, high frequency traders, random release times

10.

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, Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and EBS Group Limited
Downloads 259 (173,039)
Citation 12

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Volatility persistence, news sensitivity, exchange rates, long memory

11.

What makes HFTs tick? Tick size changes and information advantage in a market with fast and slow traders

Number of pages: 49 Posted: 25 Jun 2019 Last Revised: 06 Oct 2022
Alain Chaboud, Avery Dao and Clara Vega
Board of Governors of the Federal Reserve System, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Students and Board of Governors of the Federal Reserve System
Downloads 223 (199,857)
Citation 2

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

12.

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
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Cleveland
Downloads 195 (225,952)
Citation 20

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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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 97 (389,300)
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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 59 (517,504)
Citation 2

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

14.

The Evolution of Price Discovery in an Electronic Market

FEDS Working Paper No. 2020-51
Number of pages: 41 Posted: 25 Jun 2020
Alain Chaboud, Erik Hjalmarsson and Filip Zikes
Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 56 (522,362)
Citation 1

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15.

The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020

FRB of New York Staff Report No. 1010
Number of pages: 26 Posted: 22 Mar 2022
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and affiliation not provided to SSRN
Downloads 52 (539,797)

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sovereign bond markets, financial crisis, COVID-19

16.

All-to-All Trading in the U.S. Treasury Market

FRB of New York Staff Report No. 1036
Number of pages: 36 Posted: 24 Oct 2022 Last Revised: 27 Oct 2022
Board of Governors of the Federal Reserve System, Federal Reserve Banks, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 48 (563,119)

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Treasury market, market structure, all-to-all

17.

What Drives Volatility Persistence in the Foreign Exchange Market?

International Finance Discussion Paper No. 862
Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

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18.

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

International Finance Discussion Paper No. 980
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System

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19.

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

International Finance Discussion Paper No. 905
Posted: 12 Jul 2021 Last Revised: 22 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, University of Gothenburg - Centre for Finance and affiliation not provided to SSRN

Abstract:

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Foreign exchange market, bond markets