Phylaktis, Kate; Chen, Long - In: Journal of Empirical Finance 16 (2009) 4, pp. 640-654
In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative...