Trading in the FX market reached an all-time high of $5.3 trillion per day in April 2013, a 35% increase relative to 2010. Non-dealer financial institutions, including smaller banks, institutional investors and hedge funds, have grown into the largest and most active counterparty segment. The...

We study dealer behavior in the foreign exchange spot market using detailed observations on all the transactions of four interbank dealers. There is strong support for an information effect in incoming trades. The direction of trade is most important, but we also find that the information effect...

We compute bid-ask spreads for the dollar/euro exchange rate and find them to be substantially larger than their deutschemark counterparts before introduction of the euro. We show that larger percentage spreads are not explained by volatility, trade intensity, and other standard explanatory...

This paper sheds new light on the mixture of distribution hypothesis by means of a study of the exchange rate volatility of the Norwegian krone. First, we find that the impact of changes in the number of information events on exchange rate volatility is statistically significant, and recursive...

We presents evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost ten years. Two main findings support this: (i) The net position of...

The foreign exchange market can be divided in two segments: the interbank market and the customer market. Two recent advances in trading technology, electronic brokers in the interbank market and internet trading for customers, have significantly changed the structure of the foreign exchange...

What is the role of quot;large playersquot; like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large...

This paper provides evidence of private information in the interbank foreign exchange market. Our trading data are unique because they include trading-party identities and because they comprehensively include all interbank trading venues. We find that larger banks have more information than...

This paper provides evidence that large dealing banks have more information than small dealing banks. Our data comprise the complete record of interdealer trades, including identities and the direction of the aggressor, at a good-sized bank during one week in 1998. We stratify the banks into...

We examine the volume-volatility relation in the foreign exchange (FX) market using a unique data set from the Swedish krona (SEK) market that contains observations of 90-95 percent of all transactions from 1995 until 2002. We show that the strength of the volume-volatility relation depends on...