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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Description/Abstract
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) |
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| Related URLs: | |
| 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 |
| Item ID: | 39882 |
| 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 |
| Status: | Unpublished |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/39882 |
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