Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of Banking & Finance 36 (2012) 2, pp. 597-612
This paper examines the implications of market microstructure for foreign exchange markets. We argue that the usual order flow model needs to be recast in broader terms to incorporate the transaction costs of liquidity and the limitation of price discovery through order flows that involve low...