This article examines the implications of the existence of private information in the spot foreign exchange market. Our framework is a high-frequency version of a structural microstructure trade model that measures the market maker's beliefs directly. We find that the underpinnings for the...

The rate of information diffusion and consequently price discovery, is conditional upon not only the design of the market microstructure, but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...