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The Microstructure of Foreign Exchange Markets

2009-05-15 Business & Economics
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Release : 2009-05-15
Genre : Business & Economics
Kind : eBook
Book Rating : 232/5 ( reviews)

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Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel

Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel. This book was released on 2009-05-15. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.

Essays on the Microstructure of Foreign Exchange Markets

2000 Banks and banking, Central
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Release : 2000
Genre : Banks and banking, Central
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Book Synopsis Essays on the Microstructure of Foreign Exchange Markets by : Anusha Chari

Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Anusha Chari. This book was released on 2000. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on the Microstructure of Foreign Exchange Markets

2002 Foreign exchange market
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Release : 2002
Genre : Foreign exchange market
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Book Synopsis Essays on the Microstructure of Foreign Exchange Markets by : Rafael Romeu

Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Rafael Romeu. This book was released on 2002. Available in PDF, EPUB and Kindle. Book excerpt:

Foreign Exchange Dealing

1993 Foreign exchange
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Release : 1993
Genre : Foreign exchange
Kind : eBook
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Book Synopsis Foreign Exchange Dealing by : Antti Suvanto

Download or read book Foreign Exchange Dealing written by Antti Suvanto. This book was released on 1993. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.

Essays on Market Microstructure and Foreign Exchange Market

2015
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Release : 2015
Genre :
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Book Synopsis Essays on Market Microstructure and Foreign Exchange Market by : Soheil Mahmoodzadeh

Download or read book Essays on Market Microstructure and Foreign Exchange Market written by Soheil Mahmoodzadeh. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: High frequency trading (HFT) has become a predominant feature of financial markets. Thisthesis studies different aspects of the HFT in the Electronic Broking Services (EBS) interbank foreign exchange (FX) market.The first paper of this Thesis (Chapter 1) studies changes in the spread, market depth anddegree of adverse selection due to the lower minimum tick size. The main conclusion is that thereduction in the spread was mostly absorbed by the HFTs, whereas the manual traders were pushedback from the top of the order book and experienced longer execution times. Manual marketmakers were willing to cross the spread and act as market takers changing the informationalcontent of the order flow. Market depth was reduced significantly following the introduction ofdecimal pip pricing. The second paper of this Thesis (Chapter 2) presents the effect of the tick size change onthe adverse selection problem in the EBS market. Econometric analysis of serial correlationproperties of jumps in exchange rates, and of the spread leads to the conclusion that adverseselection is reduced by tick size change. Similar cleavage occurs before and after tick size changein an empirical adverse selection proxy. This chapter sheds light on trading behavior of marketparticipants. The third paper of this thesis (Chapter 3) discusses the properties of triangular arbitrageopportunity in the EBS market. The results cast into question current understanding of triangulararbitrage in the literature, specifically in relation to algorithmic trading. The increasingpresence of algorithmic traders does not offer significant improvement in speed of price discoveryby quickly consuming the triangular arbitrage opportunities. Rather, algorithmic tradinginfluences the creation of triangular arbitrage by two countervailing effects.

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