Ben Chiquoine

Federal Reserve Board - Division of International Finance

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

3

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CITATIONS
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Top 4,841

in Total Papers Citations

113

Scholarly Papers (3)

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 3,889 (2,289)
Citation 118

Abstract:

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algorithmic trading, volatility, liquidity provision, private information

2.

Jackknifing Stock Return Predictions

FRB International Finance Discussion Paper No. 932
Number of pages: 31 Posted: 27 Jun 2008
Ben Chiquoine and Erik Hjalmarsson
Federal Reserve Board - Division of International Finance and University of Gothenburg - Centre for Finance
Downloads 166 (177,178)
Citation 3

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Bias correction, Jackknifing, Predictive regression, Stock return predictability

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 90 (282,331)
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
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 51 (386,214)
Citation 1

Abstract:

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