Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; t
Price discovery in electronic foreign exchange markets: The sterling/dollar market
β Scribed by Russell Poskitt
- Book ID
- 111700307
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 140 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0270-7314
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π SIMILAR VOLUMES
## Abstract Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, Eβmini futures, and the EBS interdealer spot market. Contra
An extended version of the S. Beveridge and C. R. decomposition and a latent variable approach are used to examine how the noise content, and therefore the informativeness, of four aluminum prices that have been quoted at various times since 1970-the (now defunct) U.S. producer price, a transaction