The Microstructure of Currency Markets

Carol Osler () and Xuhang Wang
Additional contact information
Carol Osler: International Business School, Brandeis University
Xuhang Wang: Graduate student, Brandeis University

No 49, Working Papers from Brandeis University, Department of Economics and International Business School

Abstract: This paper describes the structure and microeconomics of the foreign exchange market. It begins by outlining the major participants and the instruments they trade, highlighting the vast institutional changes that accompanied the emergence of electronic trading since the 1990s. It then discusses how and why order flow drives exchange rates; the economics of liquidity provision; the price discovery process; and volatility.

Pages: 35 pages
Date: 2012-09
New Economics Papers: this item is included in nep-fmk and nep-mst
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Citations: View citations in EconPapers (2)

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http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP49.pdf First version, 2012 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:brd:wpaper:49

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