Browsing FGV EESP - Escola de Economia de São Paulo by Subject "Microestrutura"

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The Brazilian foreign exchange market through the microstructure perspective

Collussi, Pedro Barguil; Pereira, Pedro L. Valls
2015-07-27

The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. ...
Modelamento estocástico da dinâmica do livro de ordens: uma aplicação ao mercado brasileiro

Tomazella, Luiz Henrique Bincoletto
2015-08-19

This paper deals with the importance of modeling the dynamics of book orders for the understanding of this market microstructure. Therefore, applying the modeling techniques of the order book using the stochastic model ...