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...

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...

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...

The relationship between volume and volatility has received much attention in the literature on financial markets. However, due to the lack of data, few results have been presented for the foreign exchange (FX) market. Furthermore, most studies contain only aggregate series, and cannot...

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...

This paper examines the price discovery process in a two-tier market, specifically the foreign exchange market. The goal is to identify the sources of private information and to gain insights into the process through which that information influences the market price. Using a transactions...

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 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...

The introduction of electronic broker systems in the foreign exchange (FX) market at the end of 1992 changed the structure of the market and opened new channels for trading. We study the impact of these systems on dealer behavior, using a unique data set on the complete transactions of four FX...