Internalisation by electronic FX spot dealers

The Information Content of Individual FX Dealers’ Quoting Activity∗

We investigate the information content of dealers’ quoting activity as measured by the frequency of price revisions in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model designed for time series of count data. We find that dealers react differently to the same news announcements, some dealers increasing their activity, whilst others ...

The Components of Electronic Order-Driven Spot FX Bid-Ask Spreads Pre- and Post-EMU

This paper applies an established bid-ask spread decomposition model to spot foreign exchange market in order to assess the impact of European Monetary Union (EMU). Additionally, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets. The latter model provides much improved performance. Price clustering is introduced as ...

The response of individual FX dealers ’ quoting activity to macroeconomic news announcements ∗

This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data, which can be both underor overdispersed. We find that dealers’ quoting activity reacts differently to...

FX spot and swap market liquidity and the effects of window dressing∗

This paper assesses liquidity conditions in foreign exchange (FX) spot and derivatives markets using intra-day data against the background of FX dealers’ response to recent regulatory changes. Given that FX swap markets are by some measures even deeper that the spot market, an assessment of FX liquidity requires taking such instruments into account. We find that spot and swap market liquidity i...

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