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Informed trade in spot foreign exchange markets: an empirical investigation

✍ Scribed by Richard Payne

Book ID
117140198
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
149 KB
Volume
61
Category
Article
ISSN
0022-1996

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## Abstract This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter‐dealer market, but they are negatively correlated in the customer ma