Alain Chaboud

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

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8,006

SSRN CITATIONS
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SSRN RANKINGS

Top 6,227

in Total Papers Citations

103

CROSSREF CITATIONS

105

Scholarly Papers (13)

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 4,076 (2,751)
Citation 95

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 1,075 (23,913)
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 648 (48,374)
Citation 30

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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
Board of Governors of the Federal Reserve System and Brandeis University - International Business School
Downloads 384 (92,103)
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
Board of Governors of the Federal Reserve System, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 338 (106,467)
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
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 334 (107,855)
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, 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 281 (129,754)
Citation 33

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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, Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and EBS Group Limited
Downloads 247 (147,958)
Citation 12

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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
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Cleveland
Downloads 176 (202,678)
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 93 (330,428)
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 55 (444,077)
Citation 2

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

11.

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
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 144 (241,011)

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

12.

What makes HFTs tick?

Number of pages: 44 Posted: 25 Jun 2019
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 123 (274,169)
Citation 3

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

13.

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
Board of Governors of the Federal Reserve System, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 32 (537,363)

Abstract:

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High-frequency trading, Limit orders, Price discovery