Chen, Yu-Lun; Gau, Yin-Feng - In: Journal of Banking & Finance 38 (2014) C, pp. 194-204
We study the price discovery in a foreign exchange electronic limit order market on a daily basis, by examining the informativeness of ask and bid quotes in the process of price formation. Using the data of prices and trades in the Euro–Dollar spot market via Electronic Broking Services (EBS),...