Ingrid Lo - Latest

• Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market

  Staff Working Paper 2011-8 Ingrid Lo, Stephen Sapp

  This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Market structure and pricing JEL Code(s): D, D4, G, G1

• Private Information Flow and Price Discovery in the U.S. Treasury Market

  Staff Working Paper 2011-5 George Jiang, Ingrid Lo

  Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G14