Stephen Sapp - 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
• June 24, 2007

  Price Formation and Liquidity Provision in the Markets for European and Canadian Government Securities

  Financial System Review - June 2007 Chris D'Souza, Ingrid Lo, Stephen Sapp

  Content Type(s): Publications, Financial System Review articles

• Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

  Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp

  Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15

• Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

  Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp

  Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14

• A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

  Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp

  Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31

• Order Submission: The Choice between Limit and Market Orders

  Staff Working Paper 2005-42 Ingrid Lo, Stephen Sapp

  Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.

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