Article ID Journal Published Year Pages File Type
5089740 Journal of Banking & Finance 2012 16 Pages PDF
Abstract
► We examine the implications of market microstructure for foreign exchange markets. ► We discuss why liquidity and trading density are involved in the order flow model. ► The order flow is inadequate to explaining the low trading density currency return. ► Both order flow and bid-ask spread affect the high trading density currency return. ► The order flow model is better at incorporating the liquidity and trading density.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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