The Microstructure of Currency Markets
This paper describes the structure and microeconomics of the foreign exchange market. It begins by outlining the major participants and the instruments they trade, highlighting the vast institutional changes that accompanied the emergence of electronic trading since the 1990s. It then discusses how and why order flow drives exchange rates; the economics of liquidity provision; the price discovery process; and volatility.
Year of publication: |
2012-09
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Authors: | Osler, Carol ; Wang, Xuhang |
Institutions: | Department of Economics, International Business School, Brandeis University |
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