Alain Chaboud

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

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SCHOLARLY PAPERS

21

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TOTAL CITATIONS
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Top 6,117

in Total Papers Citations

271

Scholarly Papers (21)

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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
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Clara Vega
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 4,585 (4,664)
Citation 97

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algorithmic trading, volatility, liquidity provision, private information

2.

The Foreign Exchange Market

The Research Handbook of Financial Markets, edited by Refet Gürkaynak and Jonathan Wright. Edward Elgar. 2023, May.
Number of pages: 25 Posted: 06 Apr 2022 Last Revised: 29 Feb 2024
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 1,495 (27,861)
Citation 5

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

3.

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 1,462 (28,743)
Citation 24

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foreign exchange, interest rate parity, hedge fund

4.

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
Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
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 742 (74,736)
Citation 30

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

5.

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

Management Science
Number of pages: 60 Posted: 25 Jun 2019 Last Revised: 22 Dec 2023
Alain Chaboud, Avery Dao, Clara Vega and Filip Zikes
Board of Governors of the Federal Reserve System, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Students, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 593 (99,544)
Citation 2

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

6.

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 429 (147,762)
Citation 11

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7.

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
Alain Chaboud, Sergey Chernenko and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 407 (156,975)
Citation 5

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

8.

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 387 (166,097)
Citation 17

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

9.

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
David W. Berger, Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
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 375 (172,069)
Citation 33

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

10.

The Impact of Central Bank Communication Choices in a Market with Fast and Slow Traders

Number of pages: 61 Posted: 12 Feb 2021 Last Revised: 16 Oct 2024
Alain Chaboud, Clara Vega and Filip Zikes
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 363 (178,466)

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Monetary policy, public information, high frequency traders, random release times, central bank and CEO communication

11.

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

Downloads 321 (204,634)
Citation 2

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

FRB of New York Staff Report No. 1036. Rev. November 2024
Number of pages: 36 Posted: 24 Oct 2022 Last Revised: 14 Nov 2024
Alain Chaboud, Ellen Correia-Golay, Caren Cox, Michael J. Fleming, Yesol Huh, Frank M. Keane, Kyle Lee, Krista Schwarz, Clara Vega and Carolyn Windover
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, Independent, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Independent
Downloads 227 (289,244)
Citation 2

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Treasury market, market structure, all-to-all

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

Economic Policy Review , Vol. 31, No. 2, 1-27, https://doi.org/10.59576/epr.31.2.1-27
Number of pages: 29 Posted: 26 Feb 2025
Alain Chaboud, Ellen Correia-Golay, Caren Cox, Michael J. Fleming, Yesol Huh, Frank M. Keane, Kyle Lee, Krista Schwarz, Clara Vega and Carolyn Windover
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, Independent, U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Independent
Downloads 94 (612,647)

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Treasury market, market structure, all-to-all trading

12.

What Drives Volatility Persistence in the Foreign Exchange Market?

FRB International Finance Discussion Paper No. 862
Number of pages: 56 Posted: 07 Jun 2006
David W. Berger, Alain Chaboud, Erik Hjalmarsson and Edward Howorka
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 287 (229,819)
Citation 12

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Volatility persistence, news sensitivity, exchange rates, long memory

13.

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

Downloads 265 (249,393)
Citation 2

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
Jordan Barone, Alain Chaboud, Adam M. Copeland, Cullen Kavoussi, Frank M. Keane and Seth Searls
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Independent and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 141 (445,384)

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sovereign bond markets, financial crisis, COVID-19

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

Economic Policy Review, Vol. 29, No. 3, 1-29, https://doi.org/10.59576/epr.29.3.1-29
Number of pages: 31 Posted: 16 Dec 2023
Jordan Barone, Alain Chaboud, Adam M. Copeland, Cullen Kavoussi, Frank M. Keane and Seth Searls
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Independent and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 124 (494,936)
Citation 2

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sovereign bond markets, financial crisis, COVID-19

14.

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 237 (278,811)
Citation 20

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Foreign intervention, Japan

15.

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

Downloads 202 (325,001)
Citation 6

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
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
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 123 (498,029)
Citation 4

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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
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
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 79 (678,239)
Citation 2

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

16.

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 150 (422,853)
Citation 5

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17.

Towards Increasing Complexity: The Evolution of the FX Market

Liberty Street Economics
Posted: 12 Jan 2024
Alain Chaboud, Lisa Chung, Linda S. Goldberg and Anna Nordstrom
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

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foreign exchange, currency, spot markets, derivatives, FX Global Code

18.

2nd Annual International Roles of the U.S. Dollar Conference

FEDS Notes No. 2023-06-23-4
Posted: 29 Jun 2023
Alain Chaboud, Ricardo Correa, Patrick Douglass, Linda S. Goldberg, Juan M. Londono and Fabiola Ravazzolo
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York

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19.

What Drives Volatility Persistence in the Foreign Exchange Market?

International Finance Discussion Paper No. 862
Posted: 12 Jul 2021 Last Revised: 11 Jul 2021
David W. Berger, Alain Chaboud, Erik Hjalmarsson and Edward Howorka
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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20.

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
Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Clara Vega
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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21.

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
Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan
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