High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Torben G. Anderson, Tim Bollerslev, Francis X. Diebold et al. · American Economic Review · 2003 · 1.4K citations

Social Sciences, Economics, Finance +16

Real-time price discovery in global stock, bond and foreign exchange markets

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of International Economics · 2007 · 1.2K citations

Business, Economics, Finance +16

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson et al. · The Journal of Finance · 2014 · 632 citations · Full text

Business, Computer Science, Economics +17

The high-frequency response of exchange rates and interest rates to macroeconomic announcements

Jon Faust, John H. Rogers, Shing-Yi B. Wang et al. · Journal of Monetary Economics · 2006 · 493 citations · Full text

Social Sciences, Economics, Financial Economics +12

How is macro news transmitted to exchange rates?

Martin D.D. Evans, Richard K. Lyons · Journal of Financial Economics · 2008 · 381 citations · Full text

Social Sciences, Economics, Finance +12