Lallouache, Mehdi; Abergel, Frédéric - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 488-498
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price...