C
Clara Vega
Researcher at Federal Reserve System
Publications - 47
Citations - 6013
Clara Vega is an academic researcher from Federal Reserve System. The author has contributed to research in topics: Market liquidity & Stock market. The author has an hindex of 22, co-authored 45 publications receiving 5648 citations. Previous affiliations of Clara Vega include University of Rochester & University of Pennsylvania.
Papers
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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
TL;DR: In this paper, the response of U.S., German and British stock, bond and foreign exchange markets to real-time macroeconomic news is characterized using a unique high-frequency futures dataset.
Journal ArticleDOI
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange *
TL;DR: In this paper, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Journal ArticleDOI
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Torben G. Andersen,Torben G. Andersen,Torben G. Andersen,Clara Vega,Tim Bollerslev,Tim Bollerslev,Francis X. Diebold,Francis X. Diebold +7 more
TL;DR: In this article, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Journal ArticleDOI
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
TL;DR: This article studied the impact of algorithmic trading in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity and found that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity.
Posted Content
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
TL;DR: In this article, the response of U.S., German and British stock, bond and foreign exchange markets to real-time macroeconomic news is analyzed based on a unique data set of high-frequency futures returns for each of the markets.