The Microstructure Approach to Exchange Rates
"An innovative and important book that will be required reading for researchers in both microstructure and international finance."--Maureen O'Hara, R. W. Purcell Professor of Finance, Cornell University"A thought-provoking introduction to the subject." Mark S. Rzepczynski Financial Analysts Journal"The Microstructure Approach to Exchange Rates is an excellent overview of market microstructure principles and an impressive application of these principles to an important financial market. It furthermore suggests many insights that a microstructure approach might yield in the analyses of financial markets in general. Professor Lyons has compiled a well-integrated synthesis of his and others' past work that also suggests worthwhile directions for further investigation."--Joel Hasbrouck, Stern School of Business, New York UniversityPlease note: Arrived too late for book jacket.