Finance & Investing · Quantitative Finance
A topic within Quantitative Finance, itself one of 11 topics in that field and part of Finance & Investing.
2 works
Albert S. Kyle
Models how an informed trader optimally hides behind noise traders, showing market depth and the informativeness of prices are jointly determined by how aggressively the informed trader exploits private information.
Richard K. Lyons
Tests competing microstructure theories against real foreign exchange dealer data and finds order flow -- the signed volume of trades -- explains a large share of exchange rate movements that macroeconomic fundamentals alone cannot.
link checked 17 Sept 2026