Manahov, Viktor; Hudson, Robert - In: Applied Economics Letters 21 (2014) 16, pp. 1148-1151
This study investigates the implications of high-frequency trading (HFT) on market efficiency and price discovery by using state-space models and real-life one-minute high-frequency data of the six most traded currency pairs worldwide - USD/EUR, USD/JPY, USD/GBP, USD/AUD, USD/CHF and USD/CAD. We...