@techreport{NBERt0179,
 title = "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System",
 author = "Charles Goodhart and Takatoshi Ito and Richard Payne",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "179",
 year = "1995",
 month = "April",
 URL = "http://www.nber.org/papers/t0179",
 abstract = {The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993.  The bid and ask quotes, which are `firm' in this data set, are compared with the Reuters FXFX page, which reports only indicative bid and ask prices.  A caution is necessary due to its small samples (7 hours). The paper finds that although the bid-ask mean of indicative quotes is similar to that of `firm' quotes, the behavior of bid-ask spread and the frequency of quote entry are quite different in the two kinds of quotes.  The bid-ask spreads in the broking system are much more time- variant and dependent on the frequency of trade, while the indicative bid-ask spreads tend to cluster at round numbers.},
}