Tilbake til søkeresultatene

FINANSMARK-Finansmarkedet

FX Market Microstructure: Liquidity and Information in the era of Electronic Trading

Tildelt: kr 0,80 mill.

This project addresses several questions in the empirical FX market microstructure literature using a highly unique FX data set from a large European bank. The data set covers information about all FX trading by the bank over a period of 68 days in 2012. The data includes information on every single trade, trading platforms, counterparts etc. The data set is more detailed than data utilized in the existing literature and thus allow us to test new hypotheses. Our first paper ("The Cost of FX Liquidity: Em pirical Tests of Competing Theories") investigates the cost of liquidity for end-users in FX markets by examining competing theories. Distinguishing among these hypotheses has been essentially impossible because sufficiently detailed transaction data did not exist. Our second paper ("Information advantage in the FX interdealer market") examines sources of private information. This paper utilizes the detailed data on both interdealer and customer trading. In addition to studying sources of private inform ation, we also examine order execution strategies by the bank dealers. The third paper ("Looking into the FX Fixing: A high frequency data analysis and lessons for policy makers") contributes to the empirical literature by looking into the fixing in FX markets. The currency fixing, constitutes an institutionally accepted reference exchange rate. Several fixing rates exist in the FX industry, the most popular being the WM/Reuters fixing. More knowledge about FX fixing, and possible market manipulation, w ill provide useful information for e.g. policy makers.

Budsjettformål:

FINANSMARK-Finansmarkedet