Cass Business School
City University London
Information about this author at RePEc
NBER Working Papers and Publications
|January 1996||One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System|
with Charles Goodhart, Takatoshi Ito
in The Microstructure of Foreign Exchange Markets, Jeffrey A. Frankel, Giampaolo Galli, Alberto Giovannini, editors
|April 1995||One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System|
with Charles Goodhart, Takatoshi Ito: t0179
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.
Published: Frankel, Jeffrey A., Giampaolo Galli and Alberto Giovannini (eds.) The Microstructure of Foreign Exchange Markets. Chicago: University of Chicago Press, 1996.