Recent research of market structure and transactions costs have shown that the structure of the trading platform can have an impact on the bid-ask spread. This paper provides additional evidence that suggests that the microstructure of financial markets has an impact on the effective bid-ask...

Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to...

This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the...