The components of electronic order-driven spot FX bid-ask spreads pre- and post-EMU
McGroarty, F., Ap Gwiylm, O. and Thomas, S.H. (2008) The components of electronic order-driven spot FX bid-ask spreads pre- and post-EMU. Southampton, UK, University of Southampton, 26pp.
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This paper applies an established bid-ask spread decomposition model to spot foreign exchange market in order to assess the impact of European Monetary Union (EMU). Additionally, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets. The latter model provides much improved performance. Price clustering is introduced as a new explanatory
factor within this framework and is shown to be vitally important in understanding the bid-ask spread and price determination.
|Item Type:||Monograph (Discussion Paper)|
|Keywords:||high frequency data, foreign exchange, market microstructure, bid-ask spreads, orderdriven|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||28 Aug 2008|
|Last Modified:||02 Mar 2012 13:08|
|Contributors:||McGroarty, F. (Author)
Ap Gwiylm, O. (Author)
Thomas, S.H. (Author)
|Date:||28 August 2008|
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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