Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices |
| |
Authors: | Kate Phylaktis Long Chen |
| |
Institution: | aCass Business School, 106 Bunhill Row, London EC1Y 8TZ, United Kingdom |
| |
Abstract: | In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative difference from the transaction data, and have higher information content. Expanding the system to include order flow, due to its growing importance in exchange rate theory, we find that indicative data has a similar impact on order flow as transaction data. However, order flow has no impact on either price. |
| |
Keywords: | Exchange rates Foreign Exchange market microstructure High frequency data Order flow Indicative data |
本文献已被 ScienceDirect 等数据库收录! |
|