{"title":"Impact of Trading in the Multi-Dealer Spot Foreign Exchange","authors":"A. Schmidt","doi":"10.3905/jot.2016.11.1.068","DOIUrl":null,"url":null,"abstract":"Impact of trading in the multi-dealer spot foreign exchange market is described using a structural vector autoregressive model. The model is derived in terms of return, signed trading volume, signed order book volume, and signed insidemarket order flow. EUR/USD and EUR/JPY data samples with whole-pip pricing and decimal pip-pricing are used. The results show that market impact is determined primarily by the signed trading volume and decays on the 10-second time scale. Signed inside-market order flow may be important for currency pairs with wide bid/offer spreads. Two subtle effects, the limit order book’s push and pull, are described.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"45 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Journal of Trading","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jot.2016.11.1.068","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
Impact of trading in the multi-dealer spot foreign exchange market is described using a structural vector autoregressive model. The model is derived in terms of return, signed trading volume, signed order book volume, and signed insidemarket order flow. EUR/USD and EUR/JPY data samples with whole-pip pricing and decimal pip-pricing are used. The results show that market impact is determined primarily by the signed trading volume and decays on the 10-second time scale. Signed inside-market order flow may be important for currency pairs with wide bid/offer spreads. Two subtle effects, the limit order book’s push and pull, are described.
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