Dealers need to search for quotes in many of the world's largest markets (such as spot foreign exchange, US government bonds, and the London Stock Exchange). This search affects trading cost. We estimate the share of total trading cost attributable to search. Our experiments show that the share...

This paper investigates the intradaily operational efficiency of the U. S. foreign exchange market by conducting computer simulation experiments with market structure (the numbers of market?makers, brokers and customers). The results indicate significant operational inefficiencies which can be...

We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock dimensions by sampling points of arbitrary severity from a plausible joint probability distribution. The...