Chaboud, Alain P.; Chernenko, Sergey; Howorka, Edward; … - Federal Reserve Board (Board of Governors of the … - 2004
We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that...