Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes |
| |
| Authors: | Charles Goodhart Yuanchen Chang Richard Payne |
| |
| Affiliation: | Financial Markets Group, London School of Economics, Houghton Street, London WC2A 2AE, UK;Department of Accounting and Finance, The Management School, Lancaster University, LA1 4YX, UK;Financial Markets Group, London School of Economics, Houghton Street, London WC2A 2AE, UK |
| |
| Abstract: | In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity. |
| |
| Keywords: | JEL classification: F31 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
