Microstructural dynamics in a foreign exchange electronic broking system

Article Abstract:

A study was conducted on the relationships between quotations, spreads and transactions in the foreign exchange (FX) market. The determinants of both quote revisions and spreads were analyzed using a seven-hour, transactions-based data. The results show that trades are a significant factor in spread determination and quote revisions. Furthermore, there are indications that the negative auto-correlation in quote returns is at least partially due to the 'thinness' of this particular segment of the FX market.

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Do Reuters spreads reflect currencies' differences in global trading activity?

Article Abstract:

Trading activity, as measured by turnover or ticks, is found to exert a negative effect on Reuters spreads. Such negative effect on Reuters spreads was observed to be at a relatively low statistical reliability. On the other hand, it was observed that exchange rate volatilities create a positive and powerful effect on spreads. Reuters tick frequency, however, exerts some predictive power in the foreign exchange spot market's monthly trading volumes.

Financial markets

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The noise trading approach - questionnaire evidence from foreign exchange

Article Abstract:

Support for the noise trading approach was obtained from a mailed questionnaire sent to Germany's professional foreign exchange market participants. The questionnaire supported the hypothesis regarding limited arbitrage of fundamentalists and the popular beliefs of non-fundamentalists. It also revealed that rational participants utilize non-fundamental analysis to exploit less-rational noise traders.

Models, Germany, Markets (Economics)

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