Trading European Central Bank rumours on the EUR-USD exchange rate market
(2018)
Journal Article
Roodbar, B., Metcalf, H., & Casalin, F. (2019). Trading European Central Bank rumours on the EUR-USD exchange rate market. International Review of Financial Analysis, 61, 53-70. https://doi.org/10.1016/j.irfa.2018.11.001
This paper investigates whether the release of market-relevant news in the form of rumours on Twitter can explain the excess of market volatility previously attributed to private information, speculation, and noise traders. We define a simple theoret... Read More about Trading European Central Bank rumours on the EUR-USD exchange rate market.