Gau, Yin-Feng; Wu, Zhen-Xing - In: Journal of International Financial Markets, … 30 (2014) C, pp. 106-118
This article investigates the information content in orders submitted to the Electronic Broking Services (EBS) spot foreign exchange broking system. Using intradaily data pertaining to orders for the two most liquid currency pairs, EUR–USD and USD–JPY, the authors examine the price impact of...