Evans, Martin D. D.; O'Neill, Peter; Rime, Dagfinn; … - 2018
and effectiveness of the 4pm Fix, the most important benchmark in FX markets, using a unique dataset of trader identified … orderbook data from an inter- dealer venue. We propose and examine new measures of benchmark quality and examine changes to … market liquidity and trader behaviour. Benchmark quality, measured as price efficiency and robustness, improves after the …