Order flow, bid–ask spread and trading density in foreign exchange markets
✍ Scribed by Shikuan Chen; Chih-Chung Chien; Ming-Jen Chang
- Book ID
- 116615958
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 362 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0378-4266
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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
This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related t