Borgy, Vladimir; Idier, Julien; Le Fol, Gaëlle - Centre de Recherche en Économie et Statistique … - 2010
Even though the FX market is one of the most liquid financial markets, it would be an errorto consider it immune to liquidity problems. This paper analyzes on a long sample (2000-2009), all sets ofquotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform....
