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The electronic trading systems and bid-ask spreads in the foreign exchange market

✍ Scribed by Liang Ding; Jonas Hiltrop

Book ID
116575360
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
600 KB
Volume
20
Category
Article
ISSN
1042-4431

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πŸ“œ SIMILAR VOLUMES

The determinants of bid-ask spreads in t
The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis
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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

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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