One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System

Charles Goodhart, Takatoshi Ito, Richard Payne

NBER Technical Working Paper No. 179
Issued in April 1995
NBER Program(s):Asset Pricing, International Finance and Macroeconomics

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.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0179

Published:

• Frankel, Jeffrey A., Giampaolo Galli and Alberto Giovannini (eds.) The Microstructure of Foreign Exchange Markets. Chicago: University of Chicago Press, 1996.
• One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System, Charles Goodhart, Takatoshi Ito, Richard Payne. in The Microstructure of Foreign Exchange Markets, Frankel, Galli, and Giovannini. 1996

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